04843oam 22011174 450 991082631450332120200520144314.01-4623-8410-21-4519-9238-61-283-51473-71-4519-9404-49786613827180(CKB)3360000000443646(EBL)3014514(SSID)ssj0000942136(PQKBManifestationID)11505454(PQKBTitleCode)TC0000942136(PQKBWorkID)10964411(PQKB)11341193(OCoLC)694141209(IMF)WPIEE2006207(MiAaPQ)EBC3014514(IMF)WPIEA2006207(EXLCZ)99336000000044364620020129d2006 uf 0engur|n|---|||||txtccrMoney Market Integration /Leonardo Bartolini, R. Spence Hilton, Alessandro Prati1st ed.Washington, D.C. :International Monetary Fund,2006.1 online resource (28 p.)IMF Working Papers"September 2006."Caption title.1-4518-6467-1 Includes bibliographical references.""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""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.IMF Working Papers; Working Paper ;No. 2006/207Euro-dollar marketEconometric modelsFederal funds market (United States)Econometric modelsForeign exchange ratesEconometric modelsMoney marketEconometric modelsBankingimfBanks and BankingimfBanks and bankingimfBanksimfCapital marketimfDepository InstitutionsimfFinanceimfFinance: GeneralimfFinancial Markets and the MacroeconomyimfFinancial marketsimfGeneral Financial Markets: General (includes Measurement and Data)imfInterest Rates: Determination, Term Structure, and EffectsimfInternational capital marketsimfMicro Finance InstitutionsimfMonetary PolicyimfMoney marketimfMoney marketsimfMortgagesimfUnited StatesimfEuro-dollar marketEconometric models.Federal funds market (United States)Econometric models.Foreign exchange ratesEconometric models.Money marketEconometric models.BankingBanks and BankingBanks and bankingBanksCapital marketDepository InstitutionsFinanceFinance: GeneralFinancial Markets and the MacroeconomyFinancial marketsGeneral Financial Markets: General (includes Measurement and Data)Interest Rates: Determination, Term Structure, and EffectsInternational capital marketsMicro Finance InstitutionsMonetary PolicyMoney marketMoney marketsMortgagesBartolini Leonardo127967Hilton R. Spence1666603Prati Alessandro120813International Monetary Fund.Research Dept.DcWaIMFBOOK9910826314503321Money Market Integration4025939UNINA