Econometric Analysis of Market Bid Functions in French Treasury Bill Auctions
AbstractThis econometric study analyzes market bid functions for French Treasury Bills. We use the results of 125 discriminatory bill auctions during 1995 to determine the factors that affect the shape of the aggregate demand functions. We proceed in two step, we estimate the parameters of a logistic specification. In the second step, we explain fluctuations of the values of the parameters obtained in the previous step from one auction to the other by economic variables and show that these fluctuations can not be considered as purely random.
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Bibliographic InfoPaper provided by UniversitÃ© PanthÃ©on-Sorbonne (Paris 1) in its series Papiers d'Economie MathÃ©matique et Applications with number 2000.106.
Length: 36 pages
Date of creation: 2000
Date of revision:
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Postal: France; Universite de Paris I - Pantheon- Sorbonne, 12 Place de Pantheon-75005 Paris, France
Phone: + 33 44 07 81 00
Fax: + 33 1 44 07 83 01
Web page: http://cermsem.univ-paris1.fr/
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AUCTIONS ; DEMAND ; ECONOMETRICS ; DISCRIMINATION;
Find related papers by JEL classification:
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- 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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