Intraday Trading in the Overnight Federal Funds Market

7 Pages Posted: 5 Jan 2006  

Leonardo Bartolini

Deceased

Svenja Gudell

Simon School of Business (U of Rochester); Analysis Group, Inc.

Spence Hilton

Federal Reserve Bank of New York - Research Group

Krista Schwarz

University of Pennsylvania - Finance Department

Abstract

Transaction-level data for the federal funds market provide a rare look at the intraday behavior of trade volume and prices. An analysis of the data reveals that trade volume exhibits large swings over the course of the day while prices remain fairly stable, with rate volatility rising sharply only in the late afternoon. The analysis underscores the important role played by institutional deadlines - most notably, the close of trading - in driving movements in this market.

Keywords: Federal funds market, intraday trading

JEL Classification: E43, E52, G21

Suggested Citation

Bartolini, Leonardo and Gudell, Svenja and Hilton, Spence and Schwarz, Krista, Intraday Trading in the Overnight Federal Funds Market. Current Issues in Economics and Finance, Vol. 11, No. 11, November 2005. Available at SSRN: https://ssrn.com/abstract=873839

Svenja Gudell

Simon School of Business (U of Rochester) ( email )

Rochester, NY 14627
United States

Analysis Group, Inc.

111 Huntington Avenue
Tenth Floor
Boston, MA 02199
United States

Spence Hilton

Federal Reserve Bank of New York - Research Group ( email )

33 Liberty Street
New York, NY 10045
United States

Krista Schwarz

University of Pennsylvania - Finance Department ( email )

The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States

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