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Fiscal Policy and Microstructure of Treasury Bonds

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  • Oscar Mauricio Valencia

    ()
    (Directorate of Economic Studies National Planning Department of Colombia)

Abstract

This paper presents an alternative approach to understand the role of insurer in an economy with incomplete market. Based in a simple Stokey-Lucas framework. I construct a model with microstructure in the treasury bond markets with heterogenous bidders. The quantities and prices of the treasury bonds are a result of an auction mechanism, where the agents infer the private valuation distribution of others agents in order to obtain individual valuations. In this environment, the government borrowing constraint is endogenously determined by strategic behavior, and therefore the government insurer role depends on the size of incompleteness of public debt markets

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Bibliographic Info

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 328.

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Date of creation: 04 Jul 2006
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Handle: RePEc:sce:scecfa:328

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Keywords: Heterogenous Agents; Microstructure Models; Fiscal Policy;

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