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This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …
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"The Bank for International Settlements (BIS) and the Bank of Korea (BoK) jointly organised a conference on macroprudential regulation and policy in Seoul, Korea, on 17-18 January 2011. The conference aimed to bring academics together with researchers at central banks and other public...
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This volume contains 17 papers presented at the joint Central Bank of the Republic of Turkey (CBRT) - Bank for International Settlements (BIS) - International Monetary Fund (IMF) conference on "Macroprudential policy: effectiveness and implementation challenges" held in Istanbul, Turkey, during...
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