INTRADAY PREDICTABILITY OF OVERNIGHTINTEREST RATES

It has been found in the literature that the overnight Eurodollar rate and the effective Fedfunds rate exhibit similar calendar-day effects caused by the Federal reserve regulationsand accounting conventions and characteristics of the Fed funds market. However, it wasnot documented whether the effects are the same on the two interest rates. This paperfinds that the effects are smaller on the overnight Eurodollar rate than on the Fed fundsrate...

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Year of publication:	2003-05-01
Authors:	Lee-Scheller, Young-Sook
Institutions:	University <Nottingham> / Department of Economics
Subject:	Kreditmarkt \| Immaterielles Wirtschaftsgut \| Zins \| Vorhersagbarkeit \| Probability of Default

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Extent:	188416 bytes 41 p. application/pdf
Series:	The University of Nottingham / School of Economics - discussion papers Discussion PaperNo. 03/10
Type of publication:	Book / Working Paper
Language:	English
ISSN:	1360-2438
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; G15 - International Financial Markets ; G21 - Banks; Other Depository Institutions; Mortgages ; Financial theory ; Terms and pricing policy ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005868903