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

In: Market functioning and central bank policy

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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

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    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. Giavazzi, Francesco & Danthine, Jean-Pierre & von Thadden, Ernst-Ludwig, 2000. "European Financial Markets After EMU: A First Assessment," CEPR Discussion Papers 2413, C.E.P.R. Discussion Papers.
    3. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
    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. 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.
    6. Hasbrouck, Joel, 1993. "Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement," The Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 191-212.
    7. repec:bla:eufman:v:4:y:1998:i:1:p:91-103 is not listed on IDEAS
    8. Roll, Richard, 1984. "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-1139, September.
    9. Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 167-181, January.
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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. 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.
    3. Antzoulatos, Angelos A., 2002. "Benchmark Yield Undershooting in the E.M.U," Discussion Paper Series 26207, Hamburg Institute of International Economics.
    4. Antzoulatos, Angelos A., 2002. "Benchmark yield undershooting in the E.M.U," HWWA Discussion Papers 191, Hamburg Institute of International Economics (HWWA).
    5. Philip D Wooldridge, 2001. "The emergence of new benchmark yield curves," BIS Quarterly Review, Bank for International Settlements, December.
    6. Bank for International Settlements, 2007. "Financial stability and local currency bond markets," CGFS Papers, Bank for International Settlements, number 28.

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