We revisit a central task of the extant liquidity literature, which is to identify effective measures of liquidity. We critically assess the influential practice of identifying the best liquidity measures based on monthly correlations by comparing and contrasting correlations between monthly and...

We revisit a central task of the extant liquidity literature, which is to identify effective measures of liquidity, in the context of sovereign bonds and the new Basel III regulatory framework. We critically assess the influential practice of identifying the best liquidity measures based on...

We revisit a central task of the extant liquidity literature, which is to identify effective measures of liquidity. We critically assess the influential practice of identifying the best liquidity measures based on monthly correlations by comparing and contrasting correlations between monthly and...

We revisit a central task of the extant liquidity literature, which is to identify effective measures of liquidity, in the context of sovereign bonds and the new Basel III regulatory framework. We critically assess the influential practice of identifying the best liquidity measures based on...

This report aims to deepen the understanding of the micro aspects of the use of the euro in international trade invoicing and/or settlement. What determines the use of a currency in the invoicing of international trade? Is the euro increasingly used as an invoicing currency in international...

This work focuses on the sensitivity of the performance of the moving average (MA) trading rule of technical analysis to changes in the MA length employed. Empirical analysis of daily data from NYSE, the Vienna Stock Exchange (VSE) and the Athens Stock Exchange (ASE) reveal high variability of...

In this work a modification of the Box-Tiao methodology for the assessment of the impact of external events on time series is proposed as an alternative statistical approach of assessing the predictive performance of the moving average trading rule in financial markets. With the proposed...

On several occasions technical analysis rules have been shown to have predictive power. The main purpose of this work is to decompose the predictive power of the moving average trading rule and isolate the portion that could be attributed to the possible exploitation of linear and non linear...

This report assesses the potential benefit for public finances of the fundamental review of the trading book, as agreed in the Basel Committee on Banking Supervision. The new legislation proposal may be able to reduce the amount of potential public financial support for the banking system from...