Bhattacharyya, Indranil; Roy, Mohua; Joshi, Himanshu; … - In: Macroeconomics and Finance in Emerging Market Economies 2 (2009) 1, pp. 59-77
Money market microstructure has recently started drawing attention in the empirical literature on financial markets of emerging market economies. In the Indian context, a GARCH(1, 1) model shows that policy instruments impact bid-ask spreads in the money market. Volatility of bid-ask spreads...