Fiscal spillovers in the Euro area

Copyright @ 2011 Brunel UniversityThis paper analyses the dynamic effects of fiscal imbalances in a given EMU member state on the borrowing costs of other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global VAR, or GVAR) using quarterly data for the EMU period suggests that euro-denominated government yields are strongly linked with each other. However, financial markets seem to be able to discriminate among different issuers. Consequently, fiscal imbalances in Italy and in other peripheral countries should be closely monitored by their EMU partners and the European institutions

Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system

Copyright @ 2011 Brunel UniversityThis paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of twenty-seven months, we find a greater degree of price leadership of the dominant market when our measures (as opposed to the traditional price discovery metrics) are used. We also present unambiguous evidence that a market’s contribution to price discovery is crucially affected by the level of trading activity. The implications of these empirical findings are discussed in the light of the debate about the possible restructuring of the regulatory framework for the Treasury bond market in Europe

Price formation on the EuroMTS platform

This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace EuroMTS). Using twenty-seven months of daily data for 107 pairs of bonds, we present unambiguous evidence that trades on EuroMTS have a sizeable informational conten

Time-varying spot and futures oil price dynamics

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important role than spot markets in the case of contracts with shorter maturities, but the relative contribution of the two types of market turns out to be highly unstable, especially for the most deferred contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed

Quoted spreads and trade imbalance dynamics in the European treasury bond market

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) rders 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, tock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities

The Euro changeover and price adjustments in Italy

By estimating a staggered price model over the period 1980q1-2010q2, this paper documents that, after the euro changeover, Italian retailers have increased the number of price adjustments, which has translated into a higher inflation rate, with a detrimental effect on the competitiveness of the Italian economy

Trade intensity and output synchronisation: On the endogeneity properties of the EMU

Using annual bilateral data over the period 1988-2011 for a panel of 24 industrialised and emerging economies, we analyse in a time-varying framework the determinants of output synchronisation in EMU (European Monetary Union) distinguishing between core and peripheral member states. The results support the specialisation paradigm rather than the endogeneity hypothesis. Evidence is found in the euro period of diverging patterns between the core and the peripheral EMU countries raising questions about the future stability of EMU

Stellar populations in the Galactic bulge

AIMS:The aim of this paper is to study the characteristics of the stellar populations and the metallicity distribution in the Galactic bulge. We study the entire stellar population, but also retrieve information using only the red clump stars. METHODS: To study the characteristics of the stellar populations and the metallicity distribution in the Galactic bulge, we compared the output of the galaxy model TRILEGAL, which implements the Binney et al. (1997) bulge model, with observations from 2MASS and OGLE-II. A minimisation procedure has been set up to retrieve the best fitting model with different stellar populations and metallicity distributions. RESULTS: Using the TRILEGAL code we find that the best model resembling the characteristics of the Galactic bulge is a model with the distance to the Galactic centre $R_0 = 8.7\pm^{0.57}_{0.43}$ kpc, the major axis ratios of the bar $1:\eta:\zeta = 1 : 0.68\pm_{0.19}^{0.05} : 0.31\pm_{0.04}^{0.06}$, and the angle between the Sun-centre line and the bar $\phi = 15\deg\pm_{12.7}^{13.3}$. Using these parameters the best model is found for a burst of 8 Gyr, although it is almost indistinguishable from models with ages of 9 and 10 Gyr. The metallicity distribution found is consistent with metallicity distributions in the literature based on spectroscopic results.Comment: A&A accepte

Clump stars in the Solar Neighbourhood

Hipparcos data has allowed the identification of a large number of clump stars in the Solar Neighbourhood. We discuss our present knowledge about their distributions of masses, ages, colours, magnitudes, and metallicities. We point out that the age distribution of clump stars is ``biased'' towards intermediate-ages. Therefore, the metallicity information they contain is different from that provided by the local G dwarfs. Since accurate abundance determinations are about to become available, these may provide useful constraints to chemical evolution models of the local disc.Comment: 6 pages, proc. of the Sept. 20-24, 1999 Vulcano Workshop "The chemical evolution of the Milky Way: stars vs. clusters", eds. F. Matteucci, F. Giovanell

Structure and Evolution of Galaxy Clusters: Internal Dynamics of ABCG 209 at z~0.21

We study the internal dynamics of the rich galaxy cluster ABGC 209 on the basis of new spectroscopic and photometric data. The distribution in redshift shows that ABCG 209 is a well isolated peak of 112 detected member galaxies at z=0.209, characterised by a high value of the line-of-sight velocity dispersion, sigma_v=1250-1400 Km/s, on the whole observed area (1 Mpc/h from the cluster center), that leads to a virial mass of M=1.6-2.2x10^15 M_sun within the virial radius, assuming the dynamical equilibrium. The presence of a velocity gradient in the velocity field, the elongation in the spatial distribution of the colour-selected likely cluster members, the elongation of the X-ray contour levels in the Chandra image, and the elongation of cD galaxy show that ABCG 209 is characterised by a preferential NW-SE direction. We also find a significant deviation of the velocity distribution from a Gaussian, and relevant evidence of substructure and dynamical segregation. All these facts show that ABCG 209 is a strongly evolving cluster, possibly in an advanced phase of merging.Comment: 26 pages, 14 figures. A&A in pres