Money Market Integration
利用交易级数据和高频建模分析联邦基金与欧洲美元利差，证明美国美元货币市场两大核心高度一体化，但全球欧洲美元市场可能存在持续分割。
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.