Money market integration

Leonardo Bartolini, R. Spence Hilton and Alessandro Prati

No 227, Staff Reports from Federal Reserve Bank of New York

Abstract: We use transaction-level data and detailed modeling of the high-frequency behavior of federal funds-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 research indicating that these two markets are segmented, showing them to be well integrated even at high (intraday) frequency. We document several patterns in the behavior of federal funds-Eurodollar spreads, including liquidity effects from trading volume on 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.

Keywords: Euro-dollar market; Liquidity (Economics); Federal funds market (United States) (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-fmk, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr227.pdf (application/pdf)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr227.html (text/html)

Related works:
Journal Article: Money Market Integration (2008)
Journal Article: Money Market Integration (2008)
Working Paper: Money Market Integration (2006)
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:fip:fednsr:227

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Staff Reports from Federal Reserve Bank of New York Contact information at EDIRC.
Bibliographic data for series maintained by Gabriella Bucciarelli ().