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首页> 外文期刊>The quarterly review of economics and finance >Quoted spreads and trade imbalance dynamics in the European Treasury bond market
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Quoted spreads and trade imbalance dynamics in the European Treasury bond market

机译：欧洲国债市场的报价利差和贸易失衡动态

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摘要

Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory-depletion risk being their main concern, tend to quote wider (narrower) spreads when they think bond appreciation is more (less) likely to occur. It is also found that the probability of being in a specific regime is related to observable bond market characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities.
机译：本文使用欧洲三个最大的市场（法国，德国和意大利）的高频交易数据，证明了市场流动性与交易不平衡之间存在不对称关系：报价差价上升（下跌）而流动性下跌（增加）时（卖出）订单倾向于占上风。厌恶风险的做市商主要关注的是库存枯竭风险，当他们认为债券升值的可能性更大（较少）时，往往会引用更大（更窄）的价差。还发现，处于特定制度的可能性与可观察的债券市场特征，股市波动，宏观经济释放和货币当局的流动性管理业务有关。

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