Pre Auction Short Positions And Impacts On Primary Dealers Bidding Behavior In Us Treasury Auctions

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Pre-Auction Short Positions and Impacts on Primary Dealers' Bidding Behavior in US Treasury Auctions

Author : Leonard Tchuindjo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Pre-Auction Short Positions and Impacts on Primary Dealers' Bidding Behavior in US Treasury Auctions by : Leonard Tchuindjo

Download or read book Pre-Auction Short Positions and Impacts on Primary Dealers' Bidding Behavior in US Treasury Auctions written by Leonard Tchuindjo and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We model the uniform-price US Treasury security auction as a static symmetric game of incomplete information in which each payer is a primary dealer who submits a demand schedule given two independent sources of private information - his pre-auction short position of the auctioned security, and his valuation of this security. Under the assumptions of constant marginal value and additive separability of his demand schedule, we obtain closed-form solutions for his optimal demand schedule, and we show how his pre-auction short position impacts his bidding behavior - in particular: the dealer's demand for the auctioned security increases with his pre-auction short position; the dealer's differential bid shading decreases with his pre-auction short position; and dealers with higher pre-auction short positions bid more aggressively, but assign lower values to the auctioned securities.

Informational Advantage in US Treasury Auctions

Author : Leonard Tchuindjo
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Informational Advantage in US Treasury Auctions by : Leonard Tchuindjo

Download or read book Informational Advantage in US Treasury Auctions written by Leonard Tchuindjo and published by . This book was released on 2019 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We extend Wilson (1979) share auction framework to model the uniform-price US Treasury auction as a two-stage multiple leader-follower game. We then explicitly derive the primary dealer's (follower) strategic choice of bids as a function of its customer's (leader) bids and show that an increase in a customer's bid leads to two types of its dealer's reaction - the quantity effect by which the primary dealer increases its quantity, and the price effect by which the primary dealer decreases its bid shading. We find that comparing to the direct bidding system, the primary dealer bidding system increases the competition, which leads to an increase in both Treasury revenue and revenue's volatility. Relatively to existing studies, this paper first extends the left continuous step demand schedule in Kastl (2011) to explain how primary dealers move their bid-points around customers'. Second, it complements Hortacsu and Kastl (2012) by explicitly deriving the primary dealer's strategic choice of bids as a functional of its customer's bids and explaining how the primary dealer's informational advantage impacts its bidding behavior in handling the risk of being short-squeezed or face the winner curse in the post-auction market. Third, it provides valuable insights along the bidder's demand schedule that show that primary dealers bid more aggressively than other bidders, as opposed to Hortacsu, Kastl, and Zhang (2018).

Treasury Bill Auctions

Author : Mr.Carlo Cottarelli
Publisher : International Monetary Fund
ISBN 13 : 1451855648
Total Pages : 70 pages
Book Rating : 4.4/5 (518 download)

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Book Synopsis Treasury Bill Auctions by : Mr.Carlo Cottarelli

Download or read book Treasury Bill Auctions written by Mr.Carlo Cottarelli and published by International Monetary Fund. This book was released on 1994-11-01 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 C. L. Hardy
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Bidding Behavior in Treasury Bill Auctions by : Daniel C. L. Hardy

Download or read book Bidding Behavior in Treasury Bill Auctions written by Daniel C. L. Hardy and published by International Monetary Fund. This book was released on 2000-06 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 Multiple Unit Auctions

Author : Kjell G. Nyborg
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 ( download)

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Book Synopsis Bidder Behavior in Multiple Unit Auctions by : Kjell G. Nyborg

Download or read book Bidder Behavior in Multiple Unit Auctions written by Kjell G. Nyborg and published by . This book was released on 1997 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Pre-Auction Inventory and Bidding Behavior

Author : Kristian Rydqvist
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Pre-Auction Inventory and Bidding Behavior by : Kristian Rydqvist

Download or read book Pre-Auction Inventory and Bidding Behavior written by Kristian Rydqvist and published by . This book was released on 2014 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many bidders enter the Government of Canada securities auctions with short or long pre-auction inventory. We find that bidding strategies and auction performance vary with pre-auction ownership structure. Short and long bidders bid higher average prices and demand larger quantities than do bidders with neutral pre-auction inventory. The effects of pre-auction ownership on bidder behavior vary with the auction cycle and with uncertainty. We argue that post-auction short squeeze does not explain the observed relation between securities prices and ownership structure.

Developing the Domestic Government Debt Market

Author : World Bank
Publisher : World Bank Publications
ISBN 13 :
Total Pages : 130 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Developing the Domestic Government Debt Market by : World Bank

Download or read book Developing the Domestic Government Debt Market written by World Bank and published by World Bank Publications. This book was released on 2007 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt: Domestic government debt markets play a critical role in managing public debt effectively and reducing the vulnerability of developing countries to financial crises. Many aspects of debt markets -- money, primary, and secondary markets; a diversified investor base; and sound securities custody and settlement systems and regulation interact in complex ways and are affected by previous policies and developments. This book draws insights from 12 developing and emerging market country case studies on moving from country diagnostics to reform implementation.

The Microstructure of Government Securities Markets

Author : Mr.Peter Dattels
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 106 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis The Microstructure of Government Securities Markets by : Mr.Peter Dattels

Download or read book The Microstructure of Government Securities Markets written by Mr.Peter Dattels and published by International Monetary Fund. This book was released on 1995-11 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies the “market microstructure” literature to the specific features of government securities markets and draws implications for the strategy to develop government securities markets. It argues for an active role of the authorities in fostering the development of efficient market structures.

A Primer on Managing Sovereign Debt-Portfolio Risks

Author : Thordur Jonasson
Publisher : International Monetary Fund
ISBN 13 : 1484350545
Total Pages : 133 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis A Primer on Managing Sovereign Debt-Portfolio Risks by : Thordur Jonasson

Download or read book A Primer on Managing Sovereign Debt-Portfolio Risks written by Thordur Jonasson and published by International Monetary Fund. This book was released on 2018-04-06 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and attain desired portfolio structures. Also, the paper outlines how LMOs could be integrated into a debt management strategy and serve as policy tools to reduce potential debt portfolio vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk management framework, interactions of debt management with fiscal policy, monetary policy, and financial stability, as well as efficient government bond markets.

Guidelines for Public Debt Management -- Amended

Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 149832892X
Total Pages : 39 pages
Book Rating : 4.4/5 (983 download)

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Book Synopsis Guidelines for Public Debt Management -- Amended by : International Monetary Fund

Download or read book Guidelines for Public Debt Management -- Amended written by International Monetary Fund and published by International Monetary Fund. This book was released on 2003-09-12 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: NULL

The Federal Reserve System Purposes and Functions

Author : Board of Governors of the Federal Reserve System
Publisher :
ISBN 13 : 9780894991967
Total Pages : 0 pages
Book Rating : 4.9/5 (919 download)

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Book Synopsis The Federal Reserve System Purposes and Functions by : Board of Governors of the Federal Reserve System

Download or read book The Federal Reserve System Purposes and Functions written by Board of Governors of the Federal Reserve System and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides an in-depth overview of the Federal Reserve System, including information about monetary policy and the economy, the Federal Reserve in the international sphere, supervision and regulation, consumer and community affairs and services offered by Reserve Banks. Contains several appendixes, including a brief explanation of Federal Reserve regulations, a glossary of terms, and a list of additional publications.

Central Bank Emergency Support to Securities Markets

Author : Darryl King
Publisher : International Monetary Fund
ISBN 13 : 148430585X
Total Pages : 50 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis Central Bank Emergency Support to Securities Markets by : Darryl King

Download or read book Central Bank Emergency Support to Securities Markets written by Darryl King and published by International Monetary Fund. This book was released on 2017-07-10 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers the central bank mandate with respect to financial stability and identifies the links to the functioning of securities markets. It argues that while emergency support to securities markets is an important part of the crisis management response, a high bar should be set for its use. Importantly, it should be used only as part of a comprehensive policy package. The paper considers what types of securities markets may be important for financial stability, what market conditions could trigger emergency support measures, and how programs can be designed to restore market functioning while minimizing moral hazard.

Fragilities in the U.S. Treasury Market

Author : Antoine Bouveret
Publisher : International Monetary Fund
ISBN 13 : 1513576224
Total Pages : 44 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis Fragilities in the U.S. Treasury Market by : Antoine Bouveret

Download or read book Fragilities in the U.S. Treasury Market written by Antoine Bouveret and published by International Monetary Fund. This book was released on 2015-10-13 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changes in the structure of the U.S. Treasury market over recent years may have increased risks to financial stability. Traditional market makers have changed their liquidity provision by increasingly switching from risk warehousing to risk distribution, and a new breed of market maker has emerged with the rise of electronic trading. The “flash rally” of October 15, 2014 provides a clear example of how those risks can materialize. Based on an in-depth analysis of the event—complementing the authorities’ work—we suggest i) providing incentives for liquidity provision, ii) improving market safeguards, and iii) enhancing the regulation of the Treasury market.

Developing Government Bond Markets: A Handbook

Author :
Publisher : World Bank Publications
ISBN 13 : 9780821349557
Total Pages : 452 pages
Book Rating : 4.3/5 (495 download)

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Book Synopsis Developing Government Bond Markets: A Handbook by :

Download or read book Developing Government Bond Markets: A Handbook written by and published by World Bank Publications. This book was released on 2001-09-21 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook is a comprehensive and authoritative reference for both senior policymakers—those responsible for the development of government bond markets in their own countries—and all individuals responsible for guiding the market development process at the operational level—those who have a substantial need to understand the policy issues involved.

Trading and Exchanges

Author : Larry Harris
Publisher : OUP USA
ISBN 13 : 9780195144703
Total Pages : 664 pages
Book Rating : 4.1/5 (447 download)

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Book Synopsis Trading and Exchanges by : Larry Harris

Download or read book Trading and Exchanges written by Larry Harris and published by OUP USA. This book was released on 2003 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).

The Financial Crisis Inquiry Report

Author : Financial Crisis Inquiry Commission
Publisher : Cosimo, Inc.
ISBN 13 : 1616405414
Total Pages : 692 pages
Book Rating : 4.6/5 (164 download)

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Book Synopsis The Financial Crisis Inquiry Report by : Financial Crisis Inquiry Commission

Download or read book The Financial Crisis Inquiry Report written by Financial Crisis Inquiry Commission and published by Cosimo, Inc.. This book was released on 2011-05-01 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.

The Money Market

Author : Marcia L. Stigum
Publisher : McGraw-Hill Professional Publishing
ISBN 13 :
Total Pages : 764 pages
Book Rating : 4.:/5 (321 download)

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Book Synopsis The Money Market by : Marcia L. Stigum

Download or read book The Money Market written by Marcia L. Stigum and published by McGraw-Hill Professional Publishing. This book was released on 1983 with total page 764 pages. Available in PDF, EPUB and Kindle. Book excerpt: **** The first edition (1978) is cited in BCL3 (the 1983 edition was not noticed by the editors?). This is the standard reference on the subject, updated to cover developments since 1983. New or substantially revised chapters cover interest-rate swaps, medium-term notes (including bank deposit notes) futures (Treasury and Euro), options, loan-participation sales, banking (domestic and Euro), and the commercial paper market. Annotation copyrighted by Book News, Inc., Portland, OR