Intraday Trading in the Overnight Federal Funds Market

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Current Issues in Economics and Finance

Intraday Trading in the Overnight Federal Funds Market

November 2005 Volume 11, Number 11

JEL classification: E43, E52, G21

Authors: Leonardo Bartolini, Svenja Gudell, Spence Hilton, and Krista Schwarz

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.

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7 pages / 292 kb

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