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Interactions between cash and derivatives bond markets: some evidence for the euro area

In: Market functioning and central bank policy

Author

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  • Wolfgang Schulte

    (Deutsche Bundesbank)

  • Roberto Violi

    (Bank of Italy)

Abstract

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Suggested Citation

  • Wolfgang Schulte & Roberto Violi, 2002. "Interactions between cash and derivatives bond markets: some evidence for the euro area," BIS Papers chapters,in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 222-267 Bank for International Settlements.
  • Handle: RePEc:bis:bisbpc:12-12
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    File URL: http://www.bis.org/publ/bppdf/bispap12l.pdf
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    References listed on IDEAS

    as
    1. de Jong, F.C.J.M. & Nijman, T.E. & Röell, A.A., 1996. "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Other publications TiSEM 08f5fa19-14b7-4bc8-ba07-1, Tilburg University, School of Economics and Management.
    2. Elroy Dimson & Massoud Mussavian, 1998. "A brief history of market efficiency," European Financial Management, European Financial Management Association, vol. 4(1), pages 91-103.
    3. Danthine, Jean-Pierre & Giavazzi, Francesco & von Thadden, Ernst-Ludwig, 2000. "European Financial Markets After EMU: A First Assessment," CEPR Discussion Papers 2413, C.E.P.R. Discussion Papers.
    4. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    5. Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 167-181, January.
    6. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-126, February.
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    Cited by:

    1. Ben-Abdallah, Ramzi & Ben-Ameur, Hatem & Breton, Michèle, 2009. "An analysis of the true notional bond system applied to the CBOT T-bond futures," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 534-545, March.
    2. Antzoulatos, Angelos A., 2002. "Benchmark yield undershooting in the E.M.U," HWWA Discussion Papers 191, Hamburg Institute of International Economics (HWWA).
    3. Christian Upper & Thomas Werner, 2002. "How resilient are financial markets to stress? Bund futures and bonds during the 1998 turbulence," BIS Papers chapters,in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 110-123 Bank for International Settlements.
    4. Bank for International Settlements, 2007. "Financial stability and local currency bond markets," CGFS Papers, Bank for International Settlements, number 28.

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