| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3086 |
| DP3086 Portfolio Diversification: Alive and Well in Euroland! | |
| Jean-Pierre Danthine; Kpate Adjaoute | |
| 发表日期 | 2001-11-27 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | This Paper provides the first empirical examination of the microstructure of the euro money market, using tick data from brokers located in six countries. Special emphasis is put on the institutional environment (monetary policy decisions and their implementation, payment systems and private market structures) and its implications for intraday volatility, quoting activity, trading volume and bid-ask spreads in the overnight deposit segment. Volatility and spreads increase right after ECB monetary policy decisions, but market expectations of the interest rate changes were relatively precise during the sample period. Main refinancing operations with the open market are associated with active liquidity re-allocation, little volatility and no signs of market power or adverse selection. Spreads and volatility were high at the end of the reserve maintenance periods and during the year 2000 changeover. Even intraday, overnight rate levels hardly differ across euro area countries, reflecting active arbitrage and a high degree of integration. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Auctions Financial market microstructure High-frequency data Monetary policy instruments Overnight deposit rates Payment systems Reserve requirements Trading volume Transaction costs |
| URL | https://cepr.org/publications/dp3086 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532118 |
| 推荐引用方式 GB/T 7714 | Jean-Pierre Danthine,Kpate Adjaoute. DP3086 Portfolio Diversification: Alive and Well in Euroland!. 2001. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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