The Portuguese Money Market: An Analysis of the Daily Session
Fátima Teresa Sol Murta
Faculdade de Economia, Universidade de Coimbra
We use intra-daily data related to the Portuguese Money Market to analyse the evolution of the volume of operations, interest rate and interest rate volatility throughout the daily market session. We find a pattern in the volatility, which differs according to the stage of the reserves maintenance period. The interest rate volatility does not show a U-shaped pattern across the trading day, which we explain through features of the Single Monetary Policy.
Keywords: Overnight interest rate, Reserve requirements, High-frequency data.