Results 1 to 10 of about 167 (166)
Money Market Integration [PDF]
SSRN Electronic Journal, 2005 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.
Leonardo Bartolini +2 more
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SSRN Electronic Journal, 2009 This paper identifies simple conditions for monotone comparative statics of a unique equilibrium in the Akerlof-Wilson model. Separate conditions apply to trade volume and price. Trade volume increases when supply becomes both stronger and more elastic. In contrast, price decreases when supply becomes both stronger and less elastic.
Ewerhart, Christian, Feubli, Patricia
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Detecting money market bubbles [PDF]
Journal of Banking & Finance, 2016 Using a range of stochastic volatility models well-known in the nance literature, we study the existence of money market bubbles in the US economy. Money market bubbles preclude the existence of a risk-neutral pricing measure. Understanding whether markets exhibit money market bubbles is crucial from the point of view of derivative pricing since their ...
Jan F. Baldeaux +2 more
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Manipulation in Money Markets [PDF]
SSRN Electronic Journal, 2006 Interest rate derivatives are among the most actively traded financial instruments in the main currency areas. With values of positions reacting immediately to the underlying index of daily interbank rates, manipulation has become an increasing challenge for the operational implementation of monetary policy.
Ewerhart, Christian +3 more
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Money, Banking and Financial Markets [PDF]
The Review of Economic Studies, 2017 AbstractThe fact that money, banking, and financial markets interact in important ways seems self-evident. The theoretical nature of this interaction, however, has not been fully explored. To this end, we integrate the Diamond (1997, Journal of Political Economy105, 928–956) model of banking and financial markets with the Lagos and Wright (2005 ...
David Andolfatto +2 more
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The Review of Financial Studies, 2023 Abstract A repurchase agreement (repo) is a source of cash and collateral. We document that the money market is more segmented when the collateral motive prevails. Two crucial aspects of the central bank framework lead to this disconnect: banks’ access to the central bank’s deposit facility and assets’ eligibility for quantitative easing
Benedikt Ballensiefen +2 more
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International Money Markets: Eurocurrencies
, 2019 Eurocurrencies are international markets for short-term wholesale bank deposits and loans. They emerged in Western Europe in the late 1950s and rapidly reached a global scale. A Eurocurrency is a form of bank money: an unsecured short-term bank debt denominated in a currency (for instance, US dollars) but issued by banks operating offshore, in a ...
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Money Market Mutual Funds Are Hardly Money [PDF]
Quarterly Review, 1984 Danny Quah +2 more
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Money Market Operations and Volatility of UK Money Market Rates [PDF]
SSRN Electronic Journal, 2003 In this paper, the question of whether in the United Kingdom the choice of the operational framework for monetary policy has been systematically related to patterns in money market rates is examined. Attention is first focused on the Bank of Englands policy target, the two-week repo rate.
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