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Are Hungarian financial markets liquid enough? The theory and practice of FX and government securities market liquidity
Csávás, Csaba; Erhart, Szilárd - 2005
The subject of our study is market liquidity, which is an important element of the functioning of financial markets. Adequate liquidity of markets is of great significance from the point of view of both market participants and the central bank. On the one hand, of all market segments an...
Persistent link: https://www.econbiz.de/10010322402
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Secondary market trading infrastructure of government securities
Balogh, Csaba; Kóczán, Gergely - 2009
of the bond market similar to that of the equity market. Introduction of the euro in Hungary will fundamentally change …
Persistent link: https://www.econbiz.de/10009354802
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The forint interest rate swap market and the main drivers of swap spreads
Csávás, Csaba; Varga, Lóránt; Balogh, Csaba - 2008
In our paper we present the most important characteristics of the forint interest rate swap market, as well as examine the determinants and the information content of the forint interest rate swap spreads. The turnover of the forint interest rate swap market has grown dynamically in recent...
Persistent link: https://www.econbiz.de/10009354808
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Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market
Frömmel, Michael; Kiss M., Norbert; Pintér, Klára - 2009
We investigate the relation between the EUR/HUF exchange rate on the one hand and news announcements and order flow on the other hand using intraday data. We extend the existing literature on foreign exchange market microstructure by considering a small open transition economy. We find that the...
Persistent link: https://www.econbiz.de/10003884519
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Secondary market trading infrastructure of government securities
Balogh, Csaba; Kóczán, Gergely - 2009
of the bond market similar to that of the equity market. Introduction of the euro in Hungary will fundamentally change …
Persistent link: https://www.econbiz.de/10010322416
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Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market
Frömmel, Michael; Kiss M., Norbert; Pintér, Klára - 2009
We investigate the relation between the EUR/HUF exchange rate on the one hand and news announcements and order flow on the other hand using intraday data. We extend the existing literature on foreign exchange market microstructure by considering a small open transition economy. We find that the...
Persistent link: https://www.econbiz.de/10010322449
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The information content of Hungarian sovereign CDS spreads
Varga, Lóránt - 2009
global credit derivatives markets. Our primary goals are to glean some information from the CDS spreads about Hungary … two rates may temporarily deviate from one another due to micro structural factors. Hungary’s credit risk premium is … primarily defined in the Hungarian sovereign CDS market, which means that any new information pertaining to Hungary’s credit …
Persistent link: https://www.econbiz.de/10009354803
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The forint interest rate swap market and the main drivers of swap spreads
Csávás, Csaba; Varga, Lóránt; Balogh, Csaba - 2008
In our paper we present the most important characteristics of the forint interest rate swap market, as well as examine the determinants and the information content of the forint interest rate swap spreads. The turnover of the forint interest rate swap market has grown dynamically in recent...
Persistent link: https://www.econbiz.de/10010322396
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Customer order flow, information and liquidity on the Hungarian foreign exchange market
Gereben, Áron; Gyomai, György; Kiss M., Nobert - 2006
Customer order flow - signed transaction volume between market makers and their customers - is a key concept in the microstructure approach to exchange rates. We attempt to explore what the data tells us about the role of customer order flow in the market for Hungarian forint, using the standard...
Persistent link: https://www.econbiz.de/10010322425
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The extreme risk problem for monetary policies of the Euro-candidates
Gabrisch, Hubert; Orłowski, Lucjan T. - 2010
We argue that monetary policies in euro-candidate countries should also aim at mitigating excessive instability of the key target and instrument variables of monetary policy during turbulent market periods. Our empirical tests show a significant degree of leptokurtosis, thus prevalence of...
Persistent link: https://www.econbiz.de/10003969864