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Money market integration /
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 p...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund, Research Dept.,
2006.
|
| Colección: | IMF working paper ;
WP/06/207. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Bartolini, Leonardo, |e author. | |
| 245 | 1 | 0 | |a Money market integration / |c prepared by Leonardo Bartolini, Spence Hilton, and Alessandro Prati. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, Research Dept., |c 2006. | ||
| 300 | |a 1 online resource (26 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 340 | |g polychrome. |2 rdacc |0 http://rdaregistry.info/termList/RDAColourContent/1003 | ||
| 347 | |a text file |2 rdaft |0 http://rdaregistry.info/termList/fileType/1002 | ||
| 490 | 1 | |a IMF working paper, |x 2227-8885 ; |v WP/06/207 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Print version record. | |
| 520 | |a 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. | ||
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 505 | 0 | |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 | |
| 546 | |a English. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Euro-dollar market |x Econometric models. | |
| 650 | 0 | |a Federal funds market (U.S.) |x Econometric models. | |
| 650 | 0 | |a Foreign exchange rates |x Econometric models. | |
| 650 | 0 | |a Money market |x Econometric models. | |
| 650 | 6 | |a Taux de change |x Modèles économétriques. | |
| 650 | 6 | |a Marché monétaire |x Modèles économétriques. | |
| 650 | 7 | |a Euro-dollar market |x Econometric models |2 fast | |
| 650 | 7 | |a Foreign exchange rates |x Econometric models |2 fast | |
| 650 | 7 | |a Money market |x Econometric models |2 fast | |
| 700 | 1 | |a Hilton, R. Spence, |e author. | |
| 700 | 1 | |a Prati, Alessandro, |d 1961- |e author. |1 https://id.oclc.org/worldcat/entity/E39PBJjtc8KbvRbQMBJqkD4H4q | |
| 710 | 2 | |a International Monetary Fund. |b Research Department. | |
| 776 | 0 | 8 | |i Print version: |a Bartolini, Leonardo. |t Money market integration. |d [Washington, D.C.] : International Monetary Fund, Research Dept., ©2006 |w (OCoLC)129161888 |
| 830 | 0 | |a IMF working paper ; |v WP/06/207. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=3014514 |z Texto completo |
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