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liquidity

Publication

The bond market impact of the South African Reserve Bank bond purchase programme

Roy Havemann, Henk Janse van Vuuren, Daan Steenkamp and Rossouw van Jaarsveld
We use a unique dataset comprising over a million trades and quotes to assess the impact of the unexpected announcement of a bond purchase programme by the South African Reserve Bank on intraday market liquidity, yields and pricing volatility. Our dataset details the timing and order details of...
Mar 2022
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Publication

A Network Analysis of the Evolution of the German Interbank Market

Tarik Roukny, Co-Pierre Georg and Stefano Battiston
In this paper, we report a descriptive investigation of the structural evolution of two of the most important over-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the German large credit register between 2002 and...
Sep 2014
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