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Grupo de Estudos Monetários e Financeiros

Estudos do GEMF, N.º 06 de 2002


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.

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