Segmentation in the U.S. Dollar Money Markets During the Financial Crisis

James J. McAndrews

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Banking stability, regulation, efficiency Monetary Policy and Economic Impact Global Financial Crisis and Policies

Abstract

The U.S. dollar unsecured money market consists of two segments, Eurodollar deposits and federal funds purchases and sales. A previous study by Bartolini, Prati, and Hilton showed that the two market segments were highly integrated for trades arranged in New York in the period 2002-2004. Using another transaction-level dataset that identi…es Eurodollar and fed funds trades, as well as the Libor panel of overnight inter

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2001Banks as Monitors of Other Banks: Evidence from the Overnight Federal Funds Market 1999The Microstructure of the Federal Funds Market

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2009The Mechanics of a Graceful Exit: Interest on Reserves and Segmentation in the Federal Funds Market 2012The Role and Effectiveness of Unconventional Monetary Policy

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