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Keywords:Euro-dollar market 

Journal Article
On the pervasive effects of Federal Reserve settlement regulations

To manage their reserve positions, depository institutions in the United States actively buy and sell deposits at the Federal Reserve Banks via the federal funds market. Beginning in 1991, the Eurodollar market also became an attractive venue for trading deposits at the Federal Reserve Banks. Prior to 1991, the Federal Reserve?s statutory reserve requirement on Eurocurrency liabilities of U.S. banking offices discouraged use of Eurocurrency liabilities as a vehicle for trading deposits at the Federal Reserve. This impediment was removed in December 1990. Beginning in January 1991, the ...
Review , Volume 85 , Issue Mar , Pages 27-46

Working Paper
The cost competitiveness of the Europaper market

Very little has been written about the cost competitiveness of the market for Europaper (Euronotes and Eurocommercial paper) despite the extraordinarily rapid growth of this market over the past three years. This paper tries to compare costs to the borrower on 3-month Europaper with similar costs in the U.S. commercial paper market. On the basis of weekly data in the period June-October, the conclusion is reached that the costs may have been lower in the Europaper market roughly one-third to one-half of the time. Rates paid to investors are, at most times and for most borrowers, lower in the ...
International Finance Discussion Papers , Paper 297

Monograph
Instruments of the money market

Monograph

Monograph
Instruments of the money market (foreword)

Monograph

Working Paper
Estimation of risk-neutral and statistical densities by Hermite polynomial approximation: with an application to Eurodollar futures options

This paper expands and tests the approach of Madan and Milne (1994) for pricing contingent claims as elements of a separable Hilbert space. We specialize the Hilbert space basis to the family of Hermite polynomials and use the model to price options on Eurodollar futures. Restrictions on the prices of Hermite polynomial risk for contingent claims with different times to maturity are derived. These restrictions are rejected by our empirical tests of a four-parameter model. The unrestricted results indicate skewness and excess kurtosis in the implied risk-neutral density. These characteristics ...
FRB Atlanta Working Paper , Paper 96-5

Journal Article
The Eurobond market--its use and misuse

FRBSF Economic Letter

Journal Article
Eurodollars

An abstract for this article is not available.
Economic Review , Volume 67 , Issue May , Pages 12-18

Journal Article
Euromarkets and monetary policy

FRBSF Economic Letter

Journal Article
Eurodollars and Eurocurrencies

FRBSF Economic Letter

Monograph
Eurodollars

Monograph

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