We estimate a two-equation system on the euro-Czech koruna exchange rate and order flow at hourly frequency within the framework of Evans-Lyons (2001, JME). We use transactions data from the Reuters Spot Matching market in the second half of 2002, during which the Czech National Bank conducted...

We perform a panel analysis of bidding in the Eurosystem auctions, using individual data that include the bidder code, size, nationality and membership in a banking group. We find that an increase in interest rate volatility lowers the probability of bidding, but induces bidders to shade rates...

We test the effectiveness of the interventions performed by the Czech National Bank in the EUR/CZK within the framework of the Evans-Lyons (JME, 2002) microstructure model of the forex market. Employing time-stamped quotes and transactions on the Reuters Spot Matching market, we estimate a...

We analyse a change in the degree of transparency of MTS, the electronic inter-dealer market for Italian Treasury 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...

I estimate a two-equation system on the Czech koruna-euro exchange rate and order flow at hourly frequency with transactions data from the Reuters Spot Matching market in the second half of 2002, during which the Czech National Bank intervened to stem the appreciation of the koruna. I find a...