G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4355
DP4355 Wage Mobility: Do Institutions Make a Difference? A Replication Study Comparing Portugal and the UK
Ana Cardoso
发表日期2004-04-23
出版年2004
语种英语
摘要We study the microstructure of the MTS Global Market bond trading system. This system is the largest pan-European interdealer trading system for Eurozone government bonds. We study the volume weighted quoted spread and a variety of effective spread measures for different classes of bond maturities and issuing countries. We find that quoted and effective spreads are related to maturity and trading intensity. Estimated spreads on EuroMTS are typically slightly higher than on the domestic markets, but the difference is small in economic terms. The regression results show that order flow plays a key role in determining the price discovery in the bond market. Transitory costs are more important in markets like Italy and Belgium, which are dominated by local traders. In addition, we find a positive relationship between trading intensity and price returns, indicating findings relevant to the structure of bond markets and interdealer trading.
主题Financial Economics
关键词Bonds markets Microstructure Order flow
URLhttps://cepr.org/publications/dp4355
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/533308
推荐引用方式
GB/T 7714
Ana Cardoso. DP4355 Wage Mobility: Do Institutions Make a Difference? A Replication Study Comparing Portugal and the UK. 2004.
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