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Federal funds market (United States)

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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.

Electronic books. -- local. --- Euro-dollar market -- Econometric models. --- Federal funds market (United States) -- Econometric models. --- Foreign exchange rates -- Econometric models. --- Money market -- Econometric models. --- Finance --- Business & Economics --- International Finance --- Euro-dollar market --- Federal funds market (United States) --- Foreign exchange rates --- Money market --- Econometric models. --- Money markets --- Eurocurrency market --- Market, Euro-dollar --- Financial institutions --- Money --- Federal Reserve banks --- Banks and banking, International --- Foreign exchange --- International finance --- Banks and Banking --- Finance: General --- Interest Rates: Determination, Term Structure, and Effects --- Financial Markets and the Macroeconomy --- Monetary Policy --- General Financial Markets: General (includes Measurement and Data) --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Banking --- International capital markets --- Financial markets --- Capital market --- Banks and banking --- United States