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Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System

Caporale, Guglielmo Maria; Girardi, Alessandro - CESifo - 2011

This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of twenty-seven months, we find a greater degree of price leadership of...

Persistent link: https://www.econbiz.de/10009221548

Monetary Policy and the Relative Price of Durable Goods

Cantelmo, Alessandro; Melina, Giovanni - CESifo - 2015

In a VAR model of the US, the response of the relative price of durables to a monetary contraction is either flat or mildly positive. It significantly falls only if narrowly defined as the ratio between new house and nondurables prices. These findings survive three identification strategies and...

Persistent link: https://www.econbiz.de/10011272622

Common Trends and Common Cycles among Interest Rates of the G7-Countries

Lindenberg, Nannette; Westermann, Frank - CESifo - 2009

In this paper we re-investigate the comovements of interest rates in the G7-countries. We propose a structured modus operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration, serial correlation common feature and codependence...

Persistent link: https://www.econbiz.de/10005405925

Growth, Foreign Direct Investment and Urban Concentrations: Unbundling Spatial Lags

Poelhekke, Steven; Ploeg, Frederick Van der - CESifo - 2008

Cross-country regressions suggest that urbanization and FDI are important drivers of growth. However, it is not clear that primacy eventually hurts growth performance. Since it is tough to interpret cross-country growth regressions, we provide detailed evidence on the determinants of outward FDI...

Persistent link: https://www.econbiz.de/10005765950

Do Large Cabinets Favor Large Governments? Evidence from Swiss Sub-Federal Jurisdictions

Schaltegger, Christoph A.; Feld, Lars P. - CESifo - 2004

interact with fragmentation in determining government size. The empirical study of the role of fragmented governments for …

Persistent link: https://www.econbiz.de/10005094240

Time-Varying Spot and Futures Oil Price Dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - CESifo - 2010

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...

Persistent link: https://www.econbiz.de/10008534005

Price Formation on the EuroMTS Platform

Caporale, Guglielmo Maria; Girardi, Alessandro - CESifo - 2010

This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...

Persistent link: https://www.econbiz.de/10008583692

Outside versus Inside Bonds: A Modigliani-Miller Type Result for Liquidity Constrained Economies

Berentsen, Aleksander; Waller, Christopher - CESifo - 2010

When agents are liquidity constrained, two options exist — sell assets or borrow. We compare the allocations arising in …

Persistent link: https://www.econbiz.de/10008799751

Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market

Caporale, Guglielmo Maria; Girardi, Alessandro; … - CESifo - 2010

documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise … (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory … characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities. …

Persistent link: https://www.econbiz.de/10008833903

The Regulatory Response to the Financial Crisis

Goodhart, Charles A. E. - CESifo - 2008

regimes, also known as ‘prompt corrective action’; 3. Money market operations by Central Banks; 4. Commercial bank liquidity …

Persistent link: https://www.econbiz.de/10005766304