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010   $a9786613827180
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035   $a(EBL)3014514
035   $a(SSID)ssj0000942136
035   $a(PQKBManifestationID)11505454
035   $a(PQKBTitleCode)TC0000942136
035   $a(PQKBWorkID)10964411
035   $a(PQKB)11341193
035   $a(OCoLC)694141209
035   $a(MiAaPQ)EBC3014514
035   $a(IMF)WPIEE2006207
035   $a(EXLCZ)993360000000443646
100   $a20020129d2006      uf             0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aMoney Market Integration /$fLeonardo Bartolini, R. Spence Hilton, Alessandro Prati
210  1$aWashington, D.C. :$cInternational Monetary Fund,$d2006.
215   $a1 online resource (28 p.)
225 1 $aIMF Working Papers
300   $a"September 2006."
300   $aCaption title.
311   $a1-4518-6467-1 
320   $aIncludes bibliographical references.
327   $a""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""
330 3 $aWe use transaction-level data and detailed modeling of the high-frequency behavior of federal funds and Eurodollar yield spreads to provide evidence of strong integration between the federal funds and Eurodollar markets, the two core components of the dollar money market. Our results contrast with previous evidence of segmentation of these two markets, showing them to be well integrated even at high intra-day frequency. We document several patterns in the behavior of federal funds and Eurodollar spreads, including liquidity effects from trading volume to yield spreads volatility. Our analysis supports the view that targeting federal funds rates alone is sufficient to stabilize rates in the, much larger, dollar money market as a whole.
410  0$aIMF Working Papers; Working Paper ;$vNo. 2006/207
606   $aEuro-dollar market$xEconometric models
606   $aFederal funds market (United States)$xEconometric models
606   $aForeign exchange rates$xEconometric models
606   $aMoney market$xEconometric models
606   $aBanks and Banking$2imf
606   $aFinance: General$2imf
606   $aInterest Rates: Determination, Term Structure, and Effects$2imf
606   $aFinancial Markets and the Macroeconomy$2imf
606   $aMonetary Policy$2imf
606   $aGeneral Financial Markets: General (includes Measurement and Data)$2imf
606   $aBanks$2imf
606   $aDepository Institutions$2imf
606   $aMicro Finance Institutions$2imf
606   $aMortgages$2imf
606   $aFinance$2imf
606   $aBanking$2imf
606   $aInternational capital markets$2imf
606   $aMoney markets$2imf
606   $aFinancial markets$2imf
606   $aCapital market$2imf
606   $aMoney market$2imf
606   $aBanks and banking$2imf
607   $aUnited States$2imf
615  0$aEuro-dollar market$xEconometric models.
615  0$aFederal funds market (United States)$xEconometric models.
615  0$aForeign exchange rates$xEconometric models.
615  0$aMoney market$xEconometric models.
615  7$aBanks and Banking
615  7$aFinance: General
615  7$aInterest Rates: Determination, Term Structure, and Effects
615  7$aFinancial Markets and the Macroeconomy
615  7$aMonetary Policy
615  7$aGeneral Financial Markets: General (includes Measurement and Data)
615  7$aBanks
615  7$aDepository Institutions
615  7$aMicro Finance Institutions
615  7$aMortgages
615  7$aFinance
615  7$aBanking
615  7$aInternational capital markets
615  7$aMoney markets
615  7$aFinancial markets
615  7$aCapital market
615  7$aMoney market
615  7$aBanks and banking
700   $aBartolini$b Leonardo$0127967
701   $aHilton$b R. Spence$01574000
701   $aPrati$b Alessandro$0120813
712 02$aInternational Monetary Fund.$bResearch Dept.
801  0$bDcWaIMF
906   $aBOOK
912   $a9910788401903321
996   $aMoney Market Integration$93849990
997   $aUNINA