This research analyse the US and the EU money markets interdependence from 2004 to 2018. The study explains to what extent the volatility of the chosen money markets instruments in two regions is inter-correlated before, during and after the financial crisis of 2008. We apply the econometric analysis and estimate time-series models of class GARCH to study the historical dynamics of interbank rates and bond returns. The study demonstrates that correlation between returns of analogous money market instruments in the EU and US is not stable over time. We find that correlation rises in periods when countries are exposed to the same external shocks as global financial crisis. Wavelet coherence analysis suggests that investors do not get any advantages of portfolio diversification investing only in US treasuries with different maturities for more than 256 days and do not get any advantages at all investing only in European bonds.

本研究分析了 2004 年至 2018 年美国和欧盟货币市场的相互依存关系。该研究解释了两个地区所选货币市场工具的波动在 2008 年金融危机之前、之中和之后的相互关联程度。我们应用GARCH 类的计量经济学分析和估计时间序列模型，用于研究银行间利率和债券收益的历史动态。该研究表明，随着时间的推移，欧盟和美国类似货币市场工具的回报之间的相关性并不稳定。我们发现，当各国面临与全球金融危机相同的外部冲击时，相关性会上升。