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Intraday Predictability of Overnight Interest Rates

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  • Lee, Young-Sook

    (University of Nottingham)

Abstract

Lee (2001) found the overnight Eurodollar rate in London and the effective Fed funds rate exhibit similar calendar-day effects although the absolute magnitudes are less. Explanations for the smaller calendar-day effects on the overnight Eurodollar rate include the difference between market-specific conventions in the two markets and the time difference in measuring two interest rates. This paper investigates the relationship between the Fed funds rate at 11:30 am EST, the effective Fed funds rate and the overnight Eurodollar rate in London. It is found that the different calendar-day effects are caused by both the difference between market structures and by data collecting time difference.

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  • Lee, Young-Sook, 2002. "Intraday Predictability of Overnight Interest Rates," Royal Economic Society Annual Conference 2002 122, Royal Economic Society.
    • Handle: RePEc:ecj:ac2002:122
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