04809oam 22011054 450 991082631450332120240410162841.01-4623-8410-21-4519-9238-61-283-51473-71-4519-9404-49786613827180(CKB)3360000000443646(EBL)3014514(SSID)ssj0000942136(PQKBManifestationID)11505454(PQKBTitleCode)TC0000942136(PQKBWorkID)10964411(PQKB)11341193(OCoLC)694141209(MiAaPQ)EBC3014514(IMF)WPIEE2006207(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 modelsBanks and BankingimfFinance: GeneralimfInterest Rates: Determination, Term Structure, and EffectsimfFinancial Markets and the MacroeconomyimfMonetary PolicyimfGeneral Financial Markets: General (includes Measurement and Data)imfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfFinanceimfBankingimfInternational capital marketsimfMoney marketsimfFinancial marketsimfCapital marketimfMoney marketimfBanks and bankingimfUnited StatesimfEuro-dollar marketEconometric models.Federal funds market (United States)Econometric models.Foreign exchange ratesEconometric models.Money marketEconometric models.Banks and BankingFinance: GeneralInterest Rates: Determination, Term Structure, and EffectsFinancial Markets and the MacroeconomyMonetary PolicyGeneral Financial Markets: General (includes Measurement and Data)BanksDepository InstitutionsMicro Finance InstitutionsMortgagesFinanceBankingInternational capital marketsMoney marketsFinancial marketsCapital marketMoney marketBanks and bankingBartolini Leonardo127967Hilton R. Spence1666603Prati Alessandro120813International Monetary Fund.Research Dept.DcWaIMFBOOK9910826314503321Money Market Integration4025939UNINA