Étude empirique de la demande dans les enchères de bons du Trésor
AbstractThis empirical study analyzes market bid functions observed in French Treasury Bills auctions. We use data from 125 discriminatory auctions of 1995 to determine the factors that affect the shape of the aggregate demand functions. We proceed in two steps. In the first step, we estimate demand curves by logistic functions. In the second step, we determine the variables that explain the fluctuations of the values of the parameters across auctions. Our results offer a forecasting tool for incoming auctions. Classification JEL : C31, C51, D44, G18
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Bibliographic InfoArticle provided by Presses de Sciences-Po in its journal Revue économique.
Volume (Year): 53 (2002)
Issue (Month): 3 ()
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Web page: http://www.cairn.info/revue-economique.htm
Other versions of this item:
- Patrick Waelbroeck & Raphaële Préget, 2002. "Etude empirique de la demande dans les enchères de bons du Trésor," Revue Économique, Programme National Persée, vol. 53(3), pages 403-414.
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
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