Central Bank Research Hub - JEL classification G12: Asset Pricing; Trading volume; Bond Interest Rates

Title Author(s)

Is There an On-the-Run Premium in TIPS?

San Francisco Fed Working Papers [View] (Paper: 2017-10, 31.05.2017)

JEL: E43, E47, G12, G13

The importance of being special: repo markets during the crisis

European Central Bank Working papers [View] (Paper: 2065, 19.05.2017)

JEL: E43, E51, G01, G12, G23

The TIPS Liquidity Premium

San Francisco Fed Working Papers [View] (Paper: 2017-11, 19.05.2017)

JEL: E43, E47, G12, G13

Bid-to-cover and yield changes around public debt auctions in the euro area

European Central Bank Working papers [View] (Paper: 2056, 08.05.2017)

JEL: G11, G12, G14, G18

Liquidity transformation and financial stability: evidence from the cash management of open-end Italian mutual funds

Bank of Italy Working Papers [View] (Paper: 1113, 03.05.2017)

JEL: G12, G23

Compressing over-the-counter markets

European Systemic Risk Board Working papers [View] (Paper: WP44, 02.05.2017)

JEL: C61, D53, D85, G01, G10, G12

Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets

Bank for International Settlements Working papers [View] (Paper: 631, 26.04.2017)

JEL: G12, G14, G15

The beneficial aspect of FX volatility for market liquidity

Bank for International Settlements Working papers [View] (Paper: 629, 25.04.2017)

JEL: F31, G12

The Impacts of Financial Regulations: Solvency and Liquidity in the Post-crisis Period

Philadelphia Fed Working Papers [View] (Paper: 17-10, 24.04.2017)

JEL: G12, G18, G21, G28

Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements

St Louis Fed Working Papers [View] (Paper: 2017-011, 20.04.2017)

JEL: C1, E44, G11, G12

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