Peter G. Dunne

Bio: Peter G. Dunne is an academic researcher from Central Bank of Ireland. The author has contributed to research in topics: Market liquidity & Bond market. The author has an hindex of 13, co-authored 60 publications receiving 634 citations. Previous affiliations of Peter G. Dunne include Queen's University Belfast & Teagasc.

Benchmark Status in Fixed‐Income Asset Markets

Abstract: What is a benchmark bond? We provide a formal theoretical treatment of this concept that relates endogenously determined benchmark status to price discovery, and we derive its implications. We describe an econometric technique for identifying the benchmark that is congruent with our theoretical framework. We apply this to the US corporate bond market and to the natural experiment that occurred when benchmark status was contested in the European sovereign bond markets. We show that France provides the benchmark at most maturities in the Euro-denominated sovereign bond market and that IBM provides the benchmark in the US corporate bond market.

Defining Benchmark Status: An Application Using Euro-Area Bonds

Abstract: The introduction of the euro on 1 January 1999 created the conditions for an integrated government bond market in the euro area. Using a unique data set from the electronic trading platform Euro-MTS, we consider what is the "benchmark" in this market. We develop and apply two definitions of benchmark status that differ from the conventional view that the benchmark is the security with lowest yield at a given maturity. Using Granger-causality and cointegration methods, we find a complex pattern of benchmark status in euro-area government bonds.

Forecasting, Structural Time Series Models and the Kalman Filter

Abstract: In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.

Federal Reserve Bank of New Yorkの制定せる財務諸表様式について

Abstract: Enclosed is a copy of the Board of Governors’ Semiannual Agenda of Regulations for the period August 1, 1980 through February 1, 1981. The Semiannual Agenda provides you with information on those regulatory matters that the Board now has under consideration or anticipates considering over the next six months, and is divided into three parts: (1) regulatory matters that the Board had considered during the previous six months on which final action has been taken; (2) regulatory matters that have been proposed for public comment and that require further Board consideration; and (3) regulatory matters that the Board may consider over the next six months.

Measuring financial integration in the euro area

Abstract: In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate bond, government bond, credit and equity markets. Building upon the law of one price, we developed two types of indicators that can be broadly categorised as price-based and news-based measures. We complemented these measures by a number of quantity-based indicators, mainly related to the evolution of the home bias. Results indicate that the unsecured money market is fully integrated, while integration is reasonably high in the government and corporate bond market, as well as in the equity markets. The credit market is among the least integrated, especially in the short-term segment.

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

Abstract: Do bond investors demand credit quality or liquidity? The answer is both, but at different times and for different reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit quality and liquidity across countries, we show that the bulk of sovereign yield spreads is explained by differences in credit quality, though liquidity plays a non-trivial role especially for low credit risk countries and during times of heightened market uncertainty. In contrast, the destination of large flows into the bond market is determined almost exclusively by liquidity. We conclude that credit quality matters for bond valuation but that, in times of market stress, investors chase liquidity, not credit quality.

Yield spreads on EMU government bonds

Abstract: Government bond spreads We provide evidence that the movements in yield differentials between euro zone government bonds explained by changes in international risk factors – as measured by banking and corporate risk premiums in the United States – are more pronounced for bonds issued by Italy and Spain. Liquidity factors play a smaller role, so policies meant to increase financial market efficiency do not appear sufficient to deliver a ‘seamless’ bond market in the euro area. The risk of default is a small but important component of yield differentials movements, which signal market perceptions of fiscal vulnerability, impose market discipline on national fiscal policies, and may be reduced only by further convergence in debt ratios. — Lorenzo Codogno, Carlo Favero and Alessandro Missale