Nowhere Weak Differentiability of the Pettis Integral

For an arbitrary infinite-dimensional Banach space \X, we construct examples of strongly-measurable \X-valued Pettis integrable functions whose indefinite Pettis integrals are nowhere weakly differentiable; thus, for these functions the Lebesgue Differentiation Theorem fails rather spectacularly. We also relate the degree of nondifferentiability of the indefinite Pettis integral to the cotype of \X, from which it follows that our examples are reasonably sharp. This is an expanded version of a previously posted paper with the same name

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 content.MTS system, price discovery

Fiscal Spillovers in the Euro Area

This 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.Global VAR methodology, fiscal spillovers, euro area, public debt

Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System

This 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 discovery, liquidity, MTS system

Fiscal Spillovers in the Euro Area

This 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.global VAR methodology, fiscal spillovers, euro area, public debt

From weak to strong types of LE1L_E^1-convergence by the Bocce-criterion

Necessary and sufficient oscillation conditions are given for a weakly convergent sequence (resp. relatively weakly compact set) in the Bochner-Lebesgue space \l1 to be norm convergent (resp. relatively norm compact), thus extending the known results for \rl1. Similarly, necessary and sufficient oscillation conditions are given to pass from weak to limited (and also to Pettis-norm) convergence in \l1. It is shown that tightness is a necessary and sufficient condition to pass from limited to strong convergence. Other implications between several modes of convergence in \l1 are also studied