The London Interbank Offered Rate (LIBOR) is the short-term benchmark cost of borrowing in international capital markets. The above graph shows the 3-month LIBOR, which underpins some of the deepest markets in global finance; The Eurodollar futures, non-US banks' futures contracts, are based on the 3-month LIBOR and are traded on the Chicago Mercantile Exchange.
I would briefly like to comment on the structural breaks of the 3-month LIBOR time series since its inception in 1986. I ran a simple Chow Test on the series to test for the break. Clearly, even without the test, one can see in the graph above after every US recession, 1990-1, 2001 and 2008-9, the rate settles at a new level. The ex post rate succeeding recessions is lower each time; whether that is due to the severity of the respective recessions or the increasing integration of global finance, it is insufficient to conclude. Nevertheless, the 3-month LIBOR offers a great deal of economic and financial information on the respective conditions of markets and the economy.