The Demand for Treasury Securities at Auction
AbstractThis study empirically analyzes the demand for Treasury securities at auctions over the period October 1998 through July 2010 from the perspective of bid composition and the influence of demand at auction on the secondary market. The results show that the demand at auction, measured by bid dispersion, is positively related to the bid-to-cover ratio but is negatively associated with the percentage of accepted competitive bids as well as the percentage of noncompetitive bids. Post-auction returns are positively related to demand at auction. The findings suggest the existence of arbitrage opportunities resulting from the price discrepancy between the auction and the secondary market when the demand for Treasury securities at auction is high.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 52026.
Date of creation: 13 Sep 2011
Date of revision:
Publication status: Published in Academy of Economics and Finance Journal 1.3(2012): pp. 23-32
Treasury securities; primary market bidding; secondary market bidding;
Find related papers by JEL classification:
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
- D70 - Microeconomics - - Analysis of Collective Decision-Making - - - General
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- H62 - Public Economics - - National Budget, Deficit, and Debt - - - Deficit; Surplus
- H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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