Bank for International Settlements
نویسنده
چکیده
I. Conceptual studies of market liquidity Dupont, D " The effects of transaction costs on depth and spread " Gravelle, T " The market microstructure of dealership equity and government securities markets: how they differ " Muranaga, J and Shimizu, T " Market microstructure and market liquidity " Ui, T " Transparency and liquidity in securities markets " II. Empirical studies of market liquidity II.1 Comparative studies Fung, B S C, Mitnick, S and Remolona, E M " Recovering inflation expectations and risk premiums from internationally integrated financial markets " Gravelle, T " Liquidity of the Government of Canada securities market: stylised facts and some market microstructure comparisons to the United States Treasury market " Inoue, H " The structure of government securities markets in G10 countries: summary of questionnaire results " Inoue, H " The stylised facts of price discovery processes in government securities markets: a comparative study " McCauley, R N " The euro and the liquidity of European fixed income markets " II.2 Country level studies The impact of UK macroeconomic announcements on the market for gilts " Fleming, M and Sarkar, A " Liquidity in U.S. Treasury spot and futures markets " Higo, H " The change of liquidity in the life cycle of Japanese government securities " Muranaga, J " Dynamics of market liquidity of Japanese stocks: an analysis of tick-by-tick data of the Tokyo Stock Exchange " Scalia, A and Vacca, V " Does market transparency matter? A case study " III. Market operations and market liquidity Cohen, B " Monetary policy procedures and volatility transmission along the yield curve " Inoue, H " The effects of open market operations on the price discovery process in the Japanese government securities market: an empirical study " IV. Market liquidity under stress Miyanoya, A " price discovery functions in Japan's corporate bond market: an event study of the recent fall 1997 financial crisis " Muranaga, J and Shimizu, T " Expectations and market microstructure when liquidity is lost " 4 Preface Recent episodes of turbulence in global financial markets, as well as the ever-increasing importance of traded markets to financial intermediation, have focused the attention of policy-makers and academics on the determinants and dynamics of market liquidity. In December 1997, the Euro-currency Standing Committee (now the Committee on the Global Financial System) set up a study group of central bank researchers, under the chairmanship of the …
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