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15 G STRIPSSeparately Trading of Registered Interest and Principal of Securities 11
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20 17 G CD 1) C D C C C C C C D C C C D C - D - D 2) - - D 1) 98 2) G winners curse Bartolini and Cottarelli [1997] 18 Dattels [1995] 19 16
21 16 DA D 1) D D 1) D D 1) A D 2) AD D - D D D 3) D 4) 5) 5) 6) 5) A A A AD 1) 10 2) 3) MTSMercato Telematico dei Titoli di Stato 4) 5) 6) LIFFE MIFMercato Italiano Futures 17 CBOTCMELIFFE 17 1) OE E - E E O 2) E O 3) E E 4) O 2) 1) 17 2) 3) 99 4) LIFFE MIF
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30 26 G ) 1) buy and hold 27 26
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32 30 G (a) 6% 8% 1) 6% 7% 2) 5.5% 2) 8% 2) 9% 10 (b) 3) 1.22% 5.55% 4.05% 4.76% 4.16% 4.25% 5.35% (a) (b) 4.78% 2.45% 1.95% 2.24% 1.34% 3.75% 3.65% 1) ) 9%7% 10%5.5% 12%8% 3) Financial Times G7 28 G TBFB [1999] 31 G
33 28 1) 2) 1) 3) 1) ) 2 3) ) ) ) 2 3 2) Available for sale 33 29
34 .5.3. DVP 34 RTGS 35 G A B G7 T+1 T+2 T T+3 T+1 T+2 T+1 T+1 T+3 T+2 T+3 T+2 T EuroclearCedel 34 Delivery Versus Payment 35 Real-Time Gross Settlement
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36 10 10 PD BIS Market Liquidity: Research Findings and Selected Policy Implications Bartolini, Leonardo and Carlo Cottarelli, Designing Effective Auctions for Treasury Securities, FRBNY Current Issues in Economics and Finance, July 1997 Dattels, Peter, The Microstructure of Government Securities Markets, IMF Working Paper, November 1995 Inoue, Hirotaka, The Structure of Government Securities Markets in G10 Countries: Summary of the Questionnaire Results, BIS CGFS Study Group on Market Liquidity,
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masaaki.shirakawa@boj.or.jp 99 J 3 1999 6 1 i 10 i E-mail: masaaki.shirakawa@boj.or.jp . -------------------------------------------------------------------------------------------- 1. ---------------------------------------------------------------------------------------
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