Why is the US 30 day t bill traditionally used as a risk free rate instead of Euro bonds for example? They are both not going to default surely?
For many purposes we need a short term risk free rate. T-bill rates are ideal for this. Most Euro bonds have maturities measured in years, they cannot be considered "short term" or "money market" rates.
Also, Eurobonds are issued by a variety of issuers. Although generally highly rated, they may differ somewhat as to default probability. In other words they are not a good reference because of non uniformity. Which specific Eurobonds would be used ?