2 options
Money Market Integration / Leonardo Bartolini, R. Spence Hilton, Alessandro Prati.
- Format:
- Book
- Government document
- Author/Creator:
- Bartolini, Leonardo.
- Series:
- IMF Working Papers; Working Paper ; No. 2006/207
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Euro-dollar market--Econometric models.
- Euro-dollar market.
- Federal funds market (United States)--Econometric models.
- Federal funds market (United States).
- Foreign exchange rates--Econometric models.
- Foreign exchange rates.
- Money market--Econometric models.
- Money market.
- Physical Description:
- 1 online resource (28 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2006.
- Language Note:
- English
- Summary:
- We use transaction-level data and detailed modeling of the high-frequency behavior of federal funds and Eurodollar yield spreads to provide evidence of strong integration between the federal funds and Eurodollar markets, the two core components of the dollar money market. Our results contrast with previous evidence of segmentation of these two markets, showing them to be well integrated even at high intra-day frequency. We document several patterns in the behavior of federal funds and Eurodollar spreads, including liquidity effects from trading volume to yield spreads volatility. Our analysis supports the view that targeting federal funds rates alone is sufficient to stabilize rates in the, much larger, dollar money market as a whole.
- Contents:
- ""Contents""; ""I. INTRODUCTION""; ""II. THE FEDERAL FUNDS AND THE EURODOLLAR MARKETS""; ""III. EMPIRICAL STRATEGY""; ""IV. DATA""; ""V. PRELIMINARY DATA ANALYSIS""; ""VI. ESTIMATION AND RESULTS""; ""A. Step 1: Daily NY Federal Funds vs. London Eurodollars""; ""B. Step 2: Daily NY Federal Funds vs. NY Eurodollars""; ""C. Step 3: Intra-Day NY Federal Funds vs. NY Eurodollars""; ""VII. CONCLUSIONS""; ""REFERENCES""
- Notes:
- "September 2006."
- Caption title.
- Includes bibliographical references.
- Description based on print version record.
- ISBN:
- 9786613827180
- 9781462384105
- 1462384102
- 9781451992380
- 1451992386
- 9781283514736
- 1283514737
- 9781451994049
- 1451994044
- OCLC:
- 694141209
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.