This paper examines the efficiency of the Canadian treasury bill market as measured by the performance of the expectations model of the term structure of interest rates. In particular, market efficiency is shown to depend upon certain institutional features of the treasury bill auction process....

The current financial crisis seems to be more painful than those occurring in recent decades. This crisis caused a massive decline in the market confidence of both businesses and consumers. The crisis has affected a multitude of economic and financial activities such as financial markets that...

In a developing and fluctuant world, derivatives help the investors to avoid risks and moreover to assume them when it is necesary. The trade of the derivatives contributes to the growth of liquidity of the assets’ market. For the banks, which traditionally avoid risks, this fact combined with...

The project aims to create an econometric model which allows the forecasting of the evolution of Romania’s real economy, as well as the evolution of the system of Romanian financial markets. The study basis is represented by the assimilation of real economies with physics systems which are...

Recent macroeconomic evolutions during the years 2008 and 2009 have pointed out the impact of financial markets on economic activity. In this paper, we propose to evaluate the ability of a set of financial variables to forecast recessions in the euro area by using a non-linear binary response...

Asset market liquidity risk is a significant and perplexing subject and though the term market liquidity risk is used quite chronically in academic literature it lacks an unambiguous definition, let alone understanding of the proposed risk measures. To this end, this paper presents a review of...

This paper investigates the intraday effects of unannounced foreign exchange intervention on bid-ask exchange rate spreads using official intraday intervention data provided by the Danish central bank. Our starting point is a simple theoretical model of the bid-ask spread which we use to...

By incorporating the Harvey accumulator into the large approximate dynamic factor framework of Doz et al. (2006), we are able to construct a coincident index of financial conditions from a large unbalanced panel of mixed frequency financial indicators. We relate our financial conditions index,...

Theory suggests that uninsurable income risk induces individuals to accumulate assets as a precautionary reserve of value. Most assets, however, bear rate of return risk, that can be diversified only if every asset is traded by a large number of individuals and arbitrage is frictionless. Using...

Purpose – The purpose of this paper is to consider financial services sector macro‐prudential and micro‐prudential supervisory reforms in the European Union (EU). It aims to critically examine the new system, reviewing in particular the adequacy of the reform to address financial crises....