We analyse a change in the degree of transparency of MTS, the electronic inter-dealer market for Italian Government bonds, namely the July 1997 move to the anonymity of quotes. Our evidence supports the hypothesis that a decrease in transparency makes liquidity traders worse-off, whereas large/informed traders find it less costly to execute block trades.… (More)
This study performs a panel analysis of banks' participation and bidding in the Eurosystem weekly repo auctions during July 2000-August 2001, employing a data set of individual bids that includes the bidder code, size, nationality and membership in a banking group. We adopt the econometric approach of Wooldridge (1995) to obtain consistent estimates in the… (More)
The model of Foster-Viswanathan (1990, FV) predicts that information heterogeneity among market participants generates patterns in volume, trading costs and volatility. In the Italian Treasury bond market, periodic information asymmetry is related to the arrival of block orders from international investors, which cluster soon after the opening of the market… (More)
for their assistance, guidance and advice in writing this thesis. 1 An efficient numerical algorithm for one-dimensional diffrac-tion integrals 8 2 Application of the FFT to solve integral equations in mechanics of continua 29 2. 3 A fast iteration method for integral equations of the first and second kind 60 3.
NOTE: This Working Paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. In 2011 all ECB publications feature a motif taken from the €100 banknote. Fax +49 69 1344 6000 All rights reserved. Any reproduction, publication and… (More)