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How resilient are financial markets to stress? Bund futures and bonds during the 1998 turbulence

In: Market functioning and central bank policy

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  • Christian Upper

    (Deutsche Bundesbank)

  • Thomas Werner

    (Deutsche Bundesbank)

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This chapter was published in:

  • Bank for International Settlements, 2002. "Market functioning and central bank policy," BIS Papers, Bank for International Settlements, number 12, 8.
    This item is provided by Bank for International Settlements in its series BIS Papers chapters with number 12-06.

    Handle: RePEc:bis:bisbpc:12-06

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Wolfgang Schulte & Roberto Violi, 2001. "Interactions between cash and derivatives bond markets: some evidence for the euro area," BIS Papers chapters, in: Bank for International Settlements (ed.), The changing shape of fixed income markets: a collection of studies by central bank economists, volume 5, pages 67-112 Bank for International Settlements.
    2. Nijman, T.E. & Jong, F.C.J.M. de, 1997. "High frequency analysis of lead-lag relationships between financial markets," Open Access publications from Tilburg University urn:nbn:nl:ui:12-74206, Tilburg University.
    3. Upper, Christian, 2000. "How safe was the "safe haven"? Financial market liquidity during the 1998 turbulences," Discussion Paper Series 1: Economic Studies 2000,01, Deutsche Bundesbank, Research Centre.
    4. Christian Upper, 2001. "Measuring liquidity under stress," BIS Papers chapters, in: Bank for International Settlements (ed.), Market liquidity: proceedings of a workshop held at the BIS, volume 2, pages 159-161 Bank for International Settlements.
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    Cited by:
    1. Caporale, Guglielmo Maria & Girardi, Alessandro & Paesani, Paolo, 2012. "Quoted spreads and trade imbalance dynamics in the European Treasury bond market," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 173-182.
    2. Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System," CESifo Working Paper Series 3525, CESifo Group Munich.
    3. Alessandro Girardi, 2008. "The Informational Content of Trades on the EuroMTS Platform," ISAE Working Papers 97, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    4. Dungey, Mardi & Tugrul Vehbi, M, 2011. "A SVECM Model of the UK Economy and The Term Premium," Working Papers 11610, University of Tasmania, School of Economics and Finance.
    5. Mardi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin, 2005. "Shocks And Systemic Influences: Contagion In Global Equity Markets In 1998," CAMA Working Papers 2005-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    6. Alessandro Girardi & Claudio Impenna, 2013. "Price discovery in the Italian sovereign bonds market: the role of order flow," Temi di discussione (Economic working papers) 906, Bank of Italy, Economic Research and International Relations Area.

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