On the Optimality of Treasury Bond Auctions PDF Download
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Author: Cristina Mazón
Publisher:
ISBN: 9788477936589
Category : Bond market
Languages : en
Pages : 46
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Book Description
Author: Cristina Mazón
Publisher:
ISBN: 9788477936589
Category : Bond market
Languages : en
Pages : 46
Get Book Here
Book Description
Author: Cristina Mazón Calpena
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author: Emilio Barone
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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Book Description
The paper describes a method for selecting prices and quantities at auctions of government securities, with special reference to Italian Treasury bill auctions. As suggested by portfolio selection theory, there are three logically distinct steps: in the first, the joint distribution of stop-out and average auction prices are estimated; in the second, the efficient frontier of price/quantity combinations is obtained; and in the third, the combination of bids that maximizes the individual utility function is chosen. The paper concentrates on the first two steps and, in particular, on the estimation of the inputs needed to identify efficient corner portfolios using the critical-line algorithm proposed by Markowitz. To this end, the predictability of the supply of Italian Treasury bills and of the relationship between the primary and secondary markets for Treasury bills have been assessed. In addition, the information content of yields and implied volatilities in the secondary market for Italian Treasury bonds has been tested. Finally, the diversification procedure has been simulated and an example is given in the Appendix.
Author: Qimei Chen
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: 陳其美
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Mr.Carlo Cottarelli
Publisher: International Monetary Fund
ISBN: 1451855648
Category : Business & Economics
Languages : en
Pages : 70
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Book Description
We review the main issues that arise in the design of treasury bill auctions and survey the relevant empirical literature. We also provide a detailed description of the actual design of these auctions in a sample of 42 industrial and developing countries.
Author: Vincent Reinhart
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 68
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Book Description
Author: Daniel Heller
Publisher:
ISBN:
Category : Auctions
Languages : en
Pages : 24
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Book Description
Author: Daam van Reeth
Publisher:
ISBN:
Category :
Languages : en
Pages : 496
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Book Description
Author: Daniel C. L. Hardy
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 36
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Book Description
Behavior in the first three years of auctions for Pakistani treasury bills is studied. Bidding strategies rapidly converged to a consistent pattern after the auctions started in 1991. Factors are identified that influenced the expected profitability of auction participation, which was on average low and did not differ between types of bidders. Prices bid are found to reflected both ‘buy and sell’ and ‘buy and hold’ strategies, and were affected by risk considerations and bidder-specific variables. The Pakistani experience suggests the robustness of auctions as a market-based allocation mechanism, and their value in public debt management.
