Author: Berna Saniye Bayazitoglu
Publisher:
ISBN:
Category : Auctions
Languages : en
Pages : 350
Book Description
Bidder Behavior and Market Outcomes in Treasury Bill Auctions
Author: Berna Saniye Bayazitoglu
Publisher:
ISBN:
Category : Auctions
Languages : en
Pages : 350
Book Description
Publisher:
ISBN:
Category : Auctions
Languages : en
Pages : 350
Book Description
Bidding Behavior in Treasury Bill Auctions
Author: Daniel C. L. Hardy
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 36
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.
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 36
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.
Treasury Bill Auctions
Author: Mr.Carlo Cottarelli
Publisher: International Monetary Fund
ISBN: 1451855648
Category : Business & Economics
Languages : en
Pages : 70
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.
Publisher: International Monetary Fund
ISBN: 1451855648
Category : Business & Economics
Languages : en
Pages : 70
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.
Bidding Behavior in Treasury Bill Auctions
Author: Daniel Hardy
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
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.
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
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.
Bidder Behavior in Uniform-pricing Auctions: an Empirical Study of the Danish Treasury Bill Auctions
Author: Heino Dossing
Publisher:
ISBN:
Category :
Languages : en
Pages : 96
Book Description
In this paper I analyze the bidder behavior in uniform-pricing auctions. The paper contains a description of the most fundamental theory on discriminatory and uniform pricing auctions, a review of the existing literature and a unique empirical study of the bidder behavior in the Danish Treasury-Bill auction of 2007. The bidder-behavior in the Danish T-bill auctions was compared to the predictions of four different theoretical models via a methodology developed by Keloharju, Nyborg and Rydqvist (2005). It is found that the individual bidder's behavior is unaffected by risk and market power. Thus, price volatility and market power do not determine the profitability of the Danish T-bill Auctions. This leads to a suspicion of tacit collusion among the bidders in the Danish Treasury Bill auctions. As a consequence my empirical results could not contribute to a further mapping of the theoretical predictions on actual bidder behavior in Treasury security auctions that are confirmed by empirical data. In addition I did not come closer to an answer to the question: which auction procedure is most profitable - discriminatory or the uniform-pricing?However, my findings do add one interesting aspect to the existing literature: the relative profitability of any auction procedure can be affected by the degree of tacit collusion. Thus, any future comparisons of discriminatory and uniform-pricing auctions (across different countries or different time-periods) should take the possibility of collusion into account. Finally, future empirical studies of the bidder behavior in Treasury-security auctions could be devoted to the development of quantitative tools to detect collusion.
Publisher:
ISBN:
Category :
Languages : en
Pages : 96
Book Description
In this paper I analyze the bidder behavior in uniform-pricing auctions. The paper contains a description of the most fundamental theory on discriminatory and uniform pricing auctions, a review of the existing literature and a unique empirical study of the bidder behavior in the Danish Treasury-Bill auction of 2007. The bidder-behavior in the Danish T-bill auctions was compared to the predictions of four different theoretical models via a methodology developed by Keloharju, Nyborg and Rydqvist (2005). It is found that the individual bidder's behavior is unaffected by risk and market power. Thus, price volatility and market power do not determine the profitability of the Danish T-bill Auctions. This leads to a suspicion of tacit collusion among the bidders in the Danish Treasury Bill auctions. As a consequence my empirical results could not contribute to a further mapping of the theoretical predictions on actual bidder behavior in Treasury security auctions that are confirmed by empirical data. In addition I did not come closer to an answer to the question: which auction procedure is most profitable - discriminatory or the uniform-pricing?However, my findings do add one interesting aspect to the existing literature: the relative profitability of any auction procedure can be affected by the degree of tacit collusion. Thus, any future comparisons of discriminatory and uniform-pricing auctions (across different countries or different time-periods) should take the possibility of collusion into account. Finally, future empirical studies of the bidder behavior in Treasury-security auctions could be devoted to the development of quantitative tools to detect collusion.
Bidder Behavior in Multiple Unit Auctions
Author: Kjell G. Nyborg
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 54
Book Description
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 54
Book Description
Theory and Evidence on Reform of the Treasury's Auction Procedures
Author: Vincent Reinhart
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 68
Book Description
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 68
Book Description
Liquidity Shocks, Market Maker Turnover, and Bidding Behavior in Treasury Auctions
Author: Jesper Rüdiger
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Auction Performance, Strategic Supply Management, and Bidder Behavior in Treasury Bill Auctions
Author: Eduardo Anthony G. Mariño
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Flexible Estimation of Demand Schedules and Revenue Under Different Auction Formats
Author: Robert A. Feldman
Publisher:
ISBN:
Category : Auctions
Languages : en
Pages : 32
Book Description
Publisher:
ISBN:
Category : Auctions
Languages : en
Pages : 32
Book Description