Project Management

Time-Varying Price Discovery In The European Treasury Markets

Date Added: Apr 2010
Format: PDF

This paper study's the price discovery process in the Euro area government bond markets. Authors of this paper analyze the most active German, French, Italian and Spanish sovereign securities which are traded on the MTS electronic inter-dealer markets for various maturity buckets. Consistently with previous results, they find that the level of contribution to the price discovery process by the bonds of a certain country changes within each maturity bucket. The French market takes yield leadership at the short maturity, the German at the medium and the long maturities while the Italian is most informative at the very long end of the yield curve. Authors also find that the speed of the yield adjustment to the long-term equilibrium relationship varies over time and is affected by quote durations.