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 (48)

Downloads: (external link)
http://www.bis.org/publ/cgfs11.htm (text/html)

Chapters in this book:

The Effects of Transaction Costs on Depth and Spread , pp 1-8

Dominique Y Dupont

The Structure of Government Securities Markets in G10 Countries: Summary of Questionnaire Results , pp 1-22

Hirotaka Inoue

Monetary Policy Procedures and Volatility Transmission along the Yield Curve , pp 1-22

Benjamin Cohen

Transparency and Liquidity in Securities Markets , pp 1-17

Takashi Ui

Inflation Expectations and Risks in a Two-Country Affine-Yield Model , pp 1-23

Ben Fung, Scott Mitnick and Eli Remolona

Liquidity of the Government of Canada Securities Market: Stylised Facts and Some Market Microstructure Comparisons to the United States Treasury Market , pp 1-37

Toni Gravelle

The Euro and the Liquidity of European Fixed Income Markets , pp 1-26

Robert McCauley

Price Discovery Functions in Japan's corporate bond market: An Event Study of the Recent Fall 1997 Financial Crisis , pp 1-29

Atsushi Miyanoya

Dynamics of Market Liquidity of Japanese Stocks: An Analysis of Tick-by-Tick Data of the Tokyo Stock Exchange , pp 1-25

Jun Muranaga

The Market Microstructure of Dealership Equity and Government Securities Markets: How They Differ , pp 1-16

Toni Gravelle

The Impact of UK Macroeconomic Announcements on the Market for Gilts , pp 1-16

Andrew Clare, Mark Johnson, James Proudman and Victoria Saporta

Does Market Transparency Matter? A Case Study , pp 1-27

Antonio Scalia and Valerio Vacca

The Change of Liquidity in the Life Cycle of Japanese Government Securities , pp 1-21

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

Hirotaka Inoue

Market Microstructure and Market Liquidity , pp 1-28

Jun Muranaga and Tokiko Shimizu

The Stylised Facts of Price Discovery in Government Securities Markets: A Comparative Study , pp 1-34

Hirotaka Inoue

Expectations and Market Microstructure When Liquidity is Lost , pp 1-14

Jun Muranaga and Tokiko Shimizu

Liquidity in U.S. Treasury Spot and Futures Markets , pp 1-14

Michael Fleming and Asani Sarkar

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: https://EconPapers.repec.org/RePEc:bis:biscgf:11

Access Statistics for this book

More books in CGFS Papers from Bank for International Settlements Contact information at EDIRC.
Bibliographic data for series maintained by Martin Fessler ().