Skip to main navigation Skip to main content
info(at)avldigital.remove-this.de
Deutsch English
Narrow Search
Search narrowed by
Last searches

Results for *

Displaying results 1 to 2 of 2.

  1. Tail wags dog?
    time-varying information shares in the Bund market
    Author: Upper, Christian; Werner, Thomas
    Published: 2002
    Publisher:  Dt. Bundesbank, Frankfurt am Main

    Location:
    Freie Universität Berlin, Universitätsbibliothek
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    Humboldt-Universität zu Berlin, Universitätsbibliothek, Jacob-und-Wilhelm-Grimm-Zentrum
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    TU Berlin, Universitätsbibliothek
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    Brandenburgische Technische Universität Cottbus - Senftenberg, Universitätsbibliothek
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    Europa-Universität Viadrina, Universitätsbibliothek
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    Universität Potsdam, Universitätsbibliothek
    Inter-library loan:
    Unlimited inter-library loan, copies and loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Philologische Bibliothek, FU Berlin
    Language: English
    Media type: Book
    ISBN: 3935821336
    RVK Categories: QB 910 ; QK 620 ; QK 660
    Series: Discussion paper / Economic Research Centre of the Deutsche Bundesbank ; 2002,24
    Subjects: Informationsfluss; Marktstruktur; Marktentwicklung; Optionsmarkt; Effektenmarkt
    Scope: 30 S.
  2. Tail wags dog?
    Time-varying information shares in the bund market
    Author: Upper, Christian; Werner, Thomas
    Published: 2002
    Publisher:  Dt. Bundesbank, Frankfurt am Main

    The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is... more

    Location:
    Universitätsbibliothek Braunschweig
    Signature:
    3491-9769
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    Sächsische Landesbibliothek - Staats- und Universitätsbibliothek Dresden
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    Signature:
    K 2003 B 796
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Signature:
    Mag7564
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
    Signature:
    QK 620 U68 54260
    Inter-library loan:
    No inter-library loan

    Location:
    Universitätsbibliothek Kiel, Zentralbibliothek
    Signature:
    WP 6-2002/24
    Inter-library loan:
    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 935 (02.24)
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    Universität Konstanz, Kommunikations-, Informations-, Medienzentrum (KIM)
    Signature:
    wrc 10.06:i/d29-2002,24
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    Universitätsbibliothek Leipzig
    Inter-library loan:
    No inter-library loan

    Location:
    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
    Signature:
    02-4129/02,24
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    Universitätsbibliothek Mannheim
    Signature:
    300 QK 620 U68
    Inter-library loan:
    No inter-library loan
    Location:
    Universitätsbibliothek Mannheim
    Signature:
    QD 2860
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    ifo Institut für Wirtschaftsforschung an der Universität München, Bibliothek
    Signature:
    95/1194-02,24
    Inter-library loan:
    No inter-library loan

    Location:
    Bibliotheks-und Informationssystem der Carl von Ossietzky Universität Oldenburg (BIS)
    Signature:
    swl 105.4 SA 0666-2002,24
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    Universität Potsdam, Universitätsbibliothek
    Signature:
    02000361
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    Saarländische Universitäts- und Landesbibliothek
    Signature:
    MV 381
    Inter-library loan:
    Unlimited inter-library loan, copies and loan
    Location:
    Universität des Saarlandes, Wirtschaftswissenschaftliche Seminarbibliothek, Volkswirtschaftliche Abteilung
    Signature:
    H IV a - 467 / IN 2002-245
    Inter-library loan:
    No loan of volumes, only paper copies will be sent

    Location:
    Kommunikations-, Informations- und Medienzentrum der Universität Hohenheim
    Signature:
    4460/12
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    Fachbibliothek Wirtschaftswissenschaft, Bibliothek
    Signature:
    Ud 1215
    Inter-library loan:
    No loan of volumes, only paper copies will be sent

     

    The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data permits us to capture possible imperfections in the information flows between the two markets. We measure the contributions of trading on the spot and futures markets to price discovery using the information shares approach by Hasbrouck (1995) as well as a recently proposed approach based on the Gonzalo-Granger decomposition. A state-space approach is used to estimate the underlying VECM in the presence of missing values. We test for structural breaks in the pricing relationship between the spot and futures markets and estimate break dates. Although most information is incorporated into prices in the futures market, this does not mean that the spot market is irrelevant for prices discovery. Under normal market conditions, the underlying bonds contribute to 19 to 33 % of the variation in the efficient price. The informational role of the spot market vanishes during episodes of stress. For example, during the two weeks after the recapitalization of LTCM (September 24th to October 8th, 1998), the information share of the spot market dropped to virtually zero and futures prices did not respond to movements in bond prices. All adjustment towards equilibrium took place in the spot market.

     
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    ISBN: 3935821336
    RVK Categories: QB 910 ; QK 620 ; QK 660
    Series: Discussion paper / Economic Research Centre of the Deutsche Bundesbank ; 2002,24
    Subjects: Börsenkurs; Zinsderivat; Öffentliche Anleihe; Effizienzmarkthypothese; Informationsverbreitung; Schätzung; Deutschland
    Scope: 30 S, Abb., b
    Notes:

    Literaturverz. S. 20 - 21