We develop a global vector autoregressive model to study the transmission of information between currency spot markets. Our model accounts for both simultaneous and dynamic interactions between exchange rates and order flows using historical data from the Reuters Dealing 2000 – 1 platform for...

This working paper was written by Ka-Fai L (Hong Kong Monetary Authority), Cho-Hoi Hui (Hong Kong Monetary Authority) and Tsz-Kin Chung (Hong Kong Monetary Authority).Price disparities between the renminbi onshore deliverable forward and offshore non-deliverable forward exchange rates is an...

The purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond markets and to assess the driving factors behind the magnitude of the spill-overs between different markets. The one minute-frequency limit order-book dataset is constructed...

In this paper, we introduce a Transactionally Efficient Market Model, which evolves from the standard efficient market model, encompassing both transaction costs and bid-ask prices. Hence, we delve into how arbitrage makes its way within this complex setting. The main outgrowth of the analysis...