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## Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market (2010)

Citations: | 1 - 1 self |

### Citations

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Maximum likelihood estimation from incomplete data via the EM algorithm
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Citation Context ...taly, France and Germany, with the aim of shedding light on the secondary market for Treasury securities in Europe. The MS-VAR estimation results suggest that in abnormal (i.e. very high or very low) =-=[12]-=-market liquidity conditions dealers pay attention to the information revealed by order flows; less so when liquidity is in an intermediate state. Furthermore, the causality nexus between quoted sprea... |

462 |
Hypothesis testing when a nuisance parameter is present only under the alternative
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Citation Context ... the minimum as 15 It may be the case, indeed it is likely, that covariates have distinctive effects within different categories, implying that the analysis based on the PRA may reveal no net effect. =-=[11]-=-well as at the first quartile, at the median, at the third quartile and at the maximum values of the distribution of each predictor, ceteris paribus. [Figure 1] When refinancing costs rise, the proba... |

232 | Tests for Unit Roots: A Monte Carlo Investigation - Schwert - 1989 |

223 |
Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information
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Citation Context ...2 χ -distributed LR test. The computation of the marginal probability effects ( mpe ), that is the shift of the predicted discrete ordered distribution of the outcome variable as one (or more) of the =-=[18]-=-predictors’ changes, in the case of a generalised RE-ORM is performed under the hypothesis of normally distributed ν ij ’s, so that the β ’s and the γ ’s parameters are rescaled in the population-ave... |

184 | Markov Switching Vector Autoregressions: Modeling, Statistical Inference, and Application to Business Cycle Analysis - Krolzig - 1997 |

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114 | Limit order book as a market for liquidity
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Citation Context ...e model, by moving a predictor from its minimum to maximum. Since simulated probabilities depend on the individual elements of it x and z i , we evaluate them at the sample average of the predictors. =-=[19]-=-Appendix B. Construction of time-varying drivers of liquidity states In order to control for possible trend patterns in the covariates over the sample span, we define relative quantities with respect... |

102 |
Efficient Tests for an Autoregressive Unit
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Citation Context ...uations (A4) can be used to compute the cumulative probabilites: r ≤ j x z = F λ −βx −γ′ z (A5) ' Pr( it | it , i ) ( j it i ) Assuming a standard normal distribution yields the ordered probit model. =-=[17]-=-In order to fully capture the effect of individual heterogeneity, the random effects approach (RE-ORM) assumes that both time-invariant, i ν , and time-varying, ε it , unobserved factors may contribu... |

95 |
Endogenous liquidity in asset markets
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Citation Context ... k (A2) 0 12, i To test the null, we impose the restrictions in (A2) on the values of the autoregressive parameters so as to obtain the log likelihood value of the constrained MS-VAR model ( L con ). =-=[16]-=-By comparing L con to the value of the log likelihood of the unrestricted model ( L unr ) from (A1), a standard 2 χ -distributed (with k degrees of freedom) likelihood ratio (LR) test statistic is ca... |

88 | Pricing the commonality across alternative measures of liquidity - Korajczyk, Sadka - 2008 |

73 |
Avanidhar Subrahmanyam, 2001, Market Liquidity and Trading Activity
- Chordia, Roll
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Citation Context ... regimes and a three-regime model is appropriate in seven out of nine cases. 8 The 8 Diagnostics of the standardised residuals (available on request) provide strong evidence of no serial correlation. =-=[6]-=-main properties of the estimated regimes are reported in Table 4. The average duration of each regime j , durj = 1/(1 − p jj) , where p jj is the estimated probabilities of transition from regime j t... |

51 | The Pricing of Future Liquidity” Time-Varying Liquidity - Goldreich, Hanke, et al. - 2004 |

42 |
Subrahmanyam (2002): “Order imbalance, liquidity, and market returns
- Chordia, Roll, et al.
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Citation Context ...e measure of goodness of fit, adjusted as suggested by Krolzig (1997) gives satisfactory results: the average explanatory power for the oflw and the qspr equations is 35 and 18 percent, respectively. =-=[7]-=-information) trades occur on the basis of the market-makers’ subjective valuations, which are updated monitoring the aggregate level of order flows (Brandt and Kavajecz, 2004). 9 Inventory balance co... |

39 | An Empirical Analysis of
- Chordia, Sarkar, et al.
- 2005
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Citation Context ...ple. 11 Notice that in the present framework liquidity regimes are endogenously determined by the maximum likelihood estimation procedure rather than ex-ante imposed as in Brandt and Kavajecz (2004). =-=[8]-=-causality (from liquidity conditions to trading activity) only for FR0010070060. 4 – Explaining shifts between liquidity regimes Because most of the data on the explanatory variables are not availabl... |

31 | 2001), "Common factors in prices, order flows, and liquidity - Hasbrouck, Seppi |

28 |
2004, “Price Discovery in the U.S. Treasury Market: The Impact of Order Flow and Liquidity on the Yield Curve
- Brandt, Kavajecz
- 1973
(Show Context)
Citation Context ...al hypotheses about limit orders. In this paper, the focus is on commonalities driving the relationship between trading activity and quoted spreads for the European government bond market as a whole. =-=[3]-=-France and Germany), which account for over 70 percent of the European secondary bond market. 3 The dataset consists of tick-by-tick transaction data (prices and traded nominal volumes) matched with ... |

22 | The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates
- Clarida, Sarno, et al.
- 2006
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Citation Context ...ments, the informational value of euro area macro news is small (Andersson et al., 2006). Accordingly, in the empirical model presented in this Section we use country-specific macroeconomic releases. =-=[9]-=-4.2 – Commonality across government bonds in Europe We model the ordinal measure of the market liquidity stance, r , for each bond i = 1,..., N over a number of trading days, indexed by t = 1,..., T ... |

21 |
2009): Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market
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Citation Context ...me shifts in the deterministic component, keeping constant the autoregressive part of the system and the covariance matrix of residuals across states: k y −μ ( s )= ∑ A[ y −μ ( s )]+ u , t = 1,..., T =-=(1)-=- t t i= 1 i t−i t−i t where y t is the vector collecting adjusted order flows and quoted spreads series, () s μ is the vector of regime-dependent mean values, s t indicates the regime prevailing at ti... |

17 | The Effect of Income on Positive and Negative Subjective Well-Being
- Boes, Winkelmann
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Citation Context ...esults. First, by estimating bivariate Markov-switching Vector Auto-Regressions (MS-VAR) for each bond in the sample, we find that dealers pay attention to the information revealed by order flows. In =-=[2]-=-particular, we document the existence of an asymmetric relationship between quoted spreads and trading imbalances such that when liquidity is high (low) and quoted spreads narrow (wide), sell (buy) o... |

17 |
Benchmark status in fixed-income asset markets
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Citation Context ...framework for the case of regime shifts in the mean alone, although shifts may be allowed for elsewhere. Adopting the same 16 Results based on the seasonally adjusted series are available on request. =-=[15]-=-notation as above, the MSM( m )-VAR( p ) model, following Krolzig (1997), can be written as: qspr k qspr qspr ⎡qsprt⎤ ⎡μ ( s ) ⎤ ⎡a11, i a12, i⎤⎛ t ⎡qsprt−i⎤ ⎡μ ( st i) ⎤⎞ ⎡u ⎤ − t ⎢ oflw oflw oflw o... |

15 | The Pricing of Security Dealer Services: An Empirical - Stoll |

14 | The On-The-Run Liquidity Phenomenon - Pasquariello, Vega - 2009 |

11 | A Dynamic Model of the Limit Order - Rosu - 2009 |

9 | Inventory Risk-Sharing and Public Information–Based Trading in the Treasury Note Interdealer Broker Market - Huang, Cai, et al. - 2002 |

4 |
A Tale of Two Platforms
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- 2009
(Show Context)
Citation Context ..., 2009 and Foucault et al., 2005) and to assess whether price dynamics react differently to liquidity in different regimes as in Brandt and Kavajecz (2004). These issues are left for future research. =-=[14]-=-Appendix A. Econometric tools A.1 – Seasonal adjustment procedure The procedure proposed by Gallant et al. (1992) consists of two steps. The first stage is to regress raw measures of trading imbalanc... |

4 | 2002) "How Resilient Are Financial Markets to Stress? Bund Futures and Bonds During the 1998 Turbulence - Upper, Werner |

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3 | Does Market Transparency Matter - Scalia, Vacca - 1999 |

2 |
de Jong and B. Rindi (2005), Trading European Sovereign Bonds: The
- Cheung, F
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Citation Context ...uous and strategic revision of quotes; 2) algorithms, we are able to identify the initiator of the trade explicitly. 7 Estimation details are not reported to save space, but are available on request. =-=[5]-=-order flow imbalances contain relevant information for market-makers and influence their quoting activity and market liquidity; 3) by quoting wider spreads market-makers can hedge against the risks p... |

2 |
2008), Order Dynamics in the Italian Treasury Security Wholesale Secondary
- Coluzzi, Ginebri
(Show Context)
Citation Context ...oled-ORM and in the RE-ORM specifications are statistically significant at the 5 percent level and at least one is different from 1, implying that the J = 2 ordinal categories are not equally spaced. =-=[10]-=-effects (RE-ORM) estimates, however, indicate that a number of important covariates play a very limited role. A possible explanation of these findings may be a specification error in the empirical fr... |

2 | Jong (2004), Euro Area Sovereign Yield Dynamics: The Role of Order Imbalance, ECB Working Paper - Menkveld, Cheung, et al. |

1 |
2007), Price Formation and Liquidity
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Citation Context ...ies (making them dependent on market characteristics as well as on institutional factors) could be useful to increase market participants’ knowledge of the market microstructure properties of the MTS =-=[13]-=-platform. Finally, depth and price dynamics could be introduced as dependent variables in the MS-VAR estimation in order to test hypotheses based on the limit order market literature (see Rosu, 2009 ... |

1 | The Lender of Last Resort in the Wake - Garcia - 1989 |

1 | Testing the Null Hypothesis of [22] against the Alternative of a Unit Root - Kwiatkowski, Phillips, et al. - 1992 |