Money Market Integration

Leonardo Bartolini, Spence Hilton and Alessandro Prati

Journal of Money, Credit and Banking, 2008, vol. 40, issue 1, 193-213

Abstract: We use transaction-level data and detailed modeling of the high-frequency behavior of federal funds-Eurodollar spreads to provide evidence of strong integration of the U.S. markets for federal funds and Eurodollars, the two core components of the dollar money market. Our evidence of negligible federal funds-Eurodollar premia contrasts with previous findings of large and predictable premia, which have been interpreted as evidence of segmentation "between" the markets for federal funds and Eurodollars. Our results, however, are consistent with possible persistent segmentation "within" the global Eurodollar market. We document several patterns in the behavior of federal funds-Eurodollar spreads, including liquidity effects from trading volume to yield spreads' volatility. Copyright 2008 The Ohio State University.

Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (10)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Money Market Integration (2006)
Working Paper: Money market integration (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:40:y:2008:i:1:p:193-213

Access Statistics for this article

Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West

More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().