BARTOLINI, LEONARDO; HILTON, SPENCE; PRATI, ALESSANDRO - In: Journal of Money, Credit and Banking 40 (2008) 1, pp. 193-213
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...