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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Bartolini, Leonardo (Autor), Hilton, R. Spence (Autor), Prati, Alessandro, 1961- (Autor)
Autor Corporativo: International Monetary Fund. Research Department
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, Research Dept., 2006.
Colección:IMF working paper ; WP/06/207.
Temas:
Euro-dollar market > Econometric models.
Federal funds market (U.S.) > Econometric models.
Foreign exchange rates > Econometric models.
Money market > Econometric models.
Taux de change > Modèles économétriques.
Marché monétaire > Modèles économétriques.
Euro-dollar market > Econometric models
Foreign exchange rates > Econometric models
Money market > Econometric models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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

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