CRIEP, in cooperation with the Ministry of Economics and Finance and MTS S.p.a., deals with the drafting of a Report on microstructural liquidity conditions of the Italian government bond market. Specifically, the study deepens which have been the trend that characterised the market evolution between 2006 and 2017.
The analysis has been performed on a database offered by MTS, which includes either BTP-10y-benchmark high frequency book quotes, and the list of the deals exchanged, relative to BTPs, on the platform. This database was used by the research team to compute liquidit measures, whose evolution permitted to identify the main structural breaks and the background trends used by operators, especially market makers, in quoting and trading choices.
Some results of the research were shown during the Fixed Income Market Colloquium, held in Rome at the Ministry on 4th and 5th July 2017.
Rapporto “The long term evolution of liquidity on the Italian government bond market”, May 2018.
Ministry of Economics and Finance, Directorate II – Public Debt and MTS S.p.a.
Luciano Greco, Filippo Mormando