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Pre Auction Short Positions And Impacts On Primary Dealers Bidding Behavior In Us Treasury Auctions
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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.
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).
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.
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.
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:
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.
Book Synopsis Theory and Evidence on Reform of the Treasury's Auction Procedures by : Vincent Reinhart
Download or read book Theory and Evidence on Reform of the Treasury's Auction Procedures written by Vincent Reinhart and published by . This book was released on 1992 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Securities Publisher : ISBN 13 : Total Pages :432 pages Book Rating :4.F/5 ( download)
Book Synopsis The Activities of Salomon Brothers, Inc., in Treasury Bond Auctions by : United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Securities
Download or read book The Activities of Salomon Brothers, Inc., in Treasury Bond Auctions written by United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Securities and published by . This book was released on 1992 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Behavioral biases of dealers in U.S. treasury auctions by : David Goldreich
Download or read book Behavioral biases of dealers in U.S. treasury auctions written by David Goldreich and published by . This book was released on 2004 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Book Synopsis Bid Shading and Bidder Surplus in the U.S. Treasury Auction System by : Ali Hortaçsu
Download or read book Bid Shading and Bidder Surplus in the U.S. Treasury Auction System written by Ali Hortaçsu and published by . This book was released on 2017 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze bidding data from uniform price auctions of U.S. Treasury bills and notes between July 2009-October 2013. Primary dealers consistently bid higher yields compared to direct and indirect bidders. We estimate a structural model of bidding that takes into account informational asymmetries introduced by the bidding system employed by the U.S. Treasury. While primary dealers’ estimated willingness-to-pay is higher than direct and indirect bidders’, their ability to bid-shade is even higher, leading to higher yield/lower price bids. Total bidder surplus averaged to about 3 basis points across the sample period along with efficiency losses around 2 basis points.
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.
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.
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.
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
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.
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).
