MTS markets are an example of quote driven electronic order book markets for Government securities. Proposals are firm, immediately executable and aggregated in a limit order book. In this paper we analyse the evolution of the interaction between the order book and order flow by exploring the...

Although its importance, only recently the issue of liquidity in Treasury markets has received greater attention. We survey the literature about market liquidity and liquidity measures, and we put forward new measures. The aim is to provide a description of the liquidity of the Italian wholesale...

The paper offers a new estimate of the sensitivity of Italy's primary budget balance to macroeconomic variables. The analysis has distinguishing features: detailed itemization of public finance aggregates; close attention to the statistical properties of the time series; and joint estimation of...