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

Caporale, Guglielmo Maria; Girardi, Alessandro - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 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/10009228758

Euro Area Government Bonds: Integration and Fragmentation during the Sovereign Debt Crisis

Ehrmann, Michael; Fratzscher, Marcel - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015

tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in … following the OMT announcement, the high current degree of fragmentation poses difficult challenges for policy-makers, since it …

Persistent link: https://www.econbiz.de/10011273259

International Outsourcing and the Skill Structure of Labour Demand in the United Kingdom

Hijzen, Alexander; Görg, Holger; Hine, Robert C. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2004

This paper investigates empirically the link between international outsourcing and the skill structure of labour demand in the United Kingdom. It is the first detailed study of this issue for the UK. Outsourcing is calculated using import-use matrices of input-output tables for manufacturing...

Persistent link: https://www.econbiz.de/10004963926

Winners and Losers: Fragmentation, Trade and Wages Revisited

Geishecker, Ingo; Görg, Holger - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2003

Our paper investigates the link between international outsourcing and wages utilising a large household panel and combining it with industry level information on industries' outsourcing activities from input-output tables. By doing so we can arguably overcome the potential aggregation bias as...

Persistent link: https://www.econbiz.de/10005069046

Price Formation on the EuroMTS Platform

Caporale, Guglielmo Maria; Girardi, Alessandro - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 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/10008636401

Time-Varying Spot and Futures Oil Price Dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 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/10008557209

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

Caporale, Guglielmo Maria; Girardi, Alessandro; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 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/10008742946

Uncertainty Determinants of Corporate Liquidity

Baum, Christopher F.; Caglayan, Mustafa; Stephan, Andreas; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2006

develop a partial equilibrium model of precautionary demand for liquid assets showing that firms alter their liquidity ratio … increase their liquidity ratios when macroeconomic uncertainty or idiosyncratic uncertainty increases. …

Persistent link: https://www.econbiz.de/10004963667

How Much Fiscal Backing Must the ECB Have?: The Euro Area Is Not the Philippines

Belke, Ansgar - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010

The ECB has accepted increasing amounts of rubbish collateral since the crisis started leading to exposure to serious private sector credit risk (i.e. default risk) on its collateralised lending and reverse operations ("repo"). This has led some commentators to argue that the ECB needs "fiscal...

Persistent link: https://www.econbiz.de/10008535997

The Effects of Industry-Level Uncertainty on Cash Holdings: The Case of Germany

Baum, Christopher F.; Schäfer, Dorothea; Talavera, … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2006

increases the firm will increase its optimal level of liquidity. We test this hypothesis using a panel of German firms drawn …

Persistent link: https://www.econbiz.de/10005068997