Economics at your fingertips  

Market Liquidity: Research Findings and Selected Policy Implications

Bank for International Settlements

No 11 in CGFS Papers from Bank for International Settlements

Abstract: ABSTRACT This report is the result of a coordinated research effort by the central banks of Canada, Italy, Japan, the United Kingdom and the United States and the Bank for International Settlements on the determinants of market liquidity and on how central banks and other public authorities influence these determinants. Following a decision by the Euro-currency Standing Committee (now the Committee on the Global Financial System) in December 1997, a group of central bank economists and market analysts, under the chairmanship of the Bank of Japan, conducted this research from February 1998 to March 1999. As part of the study, staff from the central banks and/or government debt offices of all of the G-10 countries participated in a survey on the structure of government securities markets. The report consists of an overview note (Part 1) and eighteen individual papers on various aspects of market liquidity (Part 2). The overview note is the result of extensive discussions among the members of the study group, taking into account insights obtained from the individual papers. An appendix to Part 1 summarises the results of the government securities market survey. The individual papers provide the theoretical and empirical bases for the discussions of the study group.

Date: 1999 Written 1999-05
References: Add references at CitEc
Citations View citations in EconPapers (21) Track citations by RSS feed

Downloads: (external link) (text/html)

Chapters in this book:

Dynamics of Market Liquidity of Japanese Stocks: An Analysis of Tick-by-Tick Data of the Tokyo Stock Exchange , pp 1-25 Downloads
Jun Muranaga
The Structure of Government Securities Markets in G10 Countries: Summary of Questionnaire Results , pp 1-22 Downloads
Hirotaka Inoue
Monetary Policy Procedures and Volatility Transmission along the Yield Curve , pp 1-22 Downloads
Benjamin Cohen
Does Market Transparency Matter? A Case Study , pp 1-27 Downloads
Antonio Scalia and Valerio Vacca
Market Microstructure and Market Liquidity , pp 1-28 Downloads
Jun Muranaga and Tokiko Shimizu
The Effects of Transaction Costs on Depth and Spread , pp 1-8 Downloads
Dominique Y Dupont
The Impact of UK Macroeconomic Announcements on the Market for Gilts , pp 1-16 Downloads
Andrew Clare, Mark Johnson, James Proudman and Victoria Saporta
The Market Microstructure of Dealership Equity and Government Securities Markets: How They Differ , pp 1-16 Downloads
Toni Gravelle
Liquidity of the Government of Canada Securities Market: Stylised Facts and Some Market Microstructure Comparisons to the United States Treasury Market , pp 1-37 Downloads
Toni Gravelle
The Change of Liquidity in the Life Cycle of Japanese Government Securities , pp 1-21 Downloads
Hideaki Higo
The Effects of Open Market Operations on the Price Discovery Process in the Japanese Government Securities Market: An Empirical Study , pp 1-21 Downloads
Hirotaka Inoue
The Stylised Facts of Price Discovery in Government Securities Markets: A Comparative Study , pp 1-34 Downloads
Hirotaka Inoue
The Euro and the Liquidity of European Fixed Income Markets , pp 1-26 Downloads
Robert McCauley
Price Discovery Functions in Japan's corporate bond market: An Event Study of the Recent Fall 1997 Financial Crisis , pp 1-29 Downloads
Atsushi Miyanoya
Liquidity in U.S. Treasury Spot and Futures Markets , pp 1-14 Downloads
Michael Fleming and Asani Sarkar
Expectations and Market Microstructure When Liquidity is Lost , pp 1-14 Downloads
Jun Muranaga and Tokiko Shimizu
Inflation Expectations and Risks in a Two-Country Affine-Yield Model , pp 1-23 Downloads
Ben Fung, Scott Mitnick and Eli Remolona
Transparency and Liquidity in Securities Markets , pp 1-17 Downloads
Takashi Ui

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this book

More books in CGFS Papers from Bank for International Settlements Contact information at EDIRC.
Series data maintained by Christian Beslmeisl ().

Page updated 2017-10-20
Handle: RePEc:bis:biscgf:11