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Treasury bill auction procedures: Empirical perspectives from French market bid functions


  • Preget, Raphaele
  • Waelbroeck, Patrick


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  • Preget, Raphaele & Waelbroeck, Patrick, 2005. "Treasury bill auction procedures: Empirical perspectives from French market bid functions," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1054-1072, November.
  • Handle: RePEc:eee:jimfin:v:24:y:2005:i:7:p:1054-1072

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    References listed on IDEAS

    1. Fleming, Michael J, 2002. "Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 707-735, August.
    2. Simon, David P, 1994. "The Treasury's Experiment with Single-Price Auctions in the Mid-1970s: Winner's or Taxpayer's Curse?," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 754-760, November.
    3. Park, Sang Yong & Reinganum, Marc R., 1986. "The puzzling price behavior of treasury bills that mature at the turn of calendar months," Journal of Financial Economics, Elsevier, vol. 16(2), pages 267-283, June.
    4. Daripa, Arupratan, 2001. "A theory of treasury auctions," Journal of International Money and Finance, Elsevier, vol. 20(6), pages 743-767, November.
    5. Jaime F. Zender & James J.D. Wang, 2002. "Auctioning divisible goods," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 19(4), pages 673-705.
    6. Philippe Février & Raphaële Preget & Michael Visser, 2002. "Econometrics of Share Auctions," Working Papers 2002-09, Center for Research in Economics and Statistics.
    7. Bolten, Steven, 1973. "Treasury Bill Auction Procedures: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 28(3), pages 577-585, June.
    8. Robert Wilson, 1979. "Auctions of Shares," The Quarterly Journal of Economics, Oxford University Press, vol. 93(4), pages 675-689.
    9. Ogden, Joseph P., 1987. "The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(03), pages 329-343, September.
    10. Umlauf, Steven R., 1993. "An empirical study of the Mexican Treasury bill auction," Journal of Financial Economics, Elsevier, vol. 33(3), pages 313-340, June.
    11. Simon, David P., 1994. "Further evidence on segmentation in the treasury bill market," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 139-151, January.
    12. Jegadeesh, Narasimhan, 1993. " Treasury Auction Bids and the Salomon Squeeze," Journal of Finance, American Finance Association, vol. 48(4), pages 1403-1419, September.
    13. Daniel Heller & Yvan Lengwiler, 2001. "Should the Treasury Price Discriminate?. A Procedure for Computing Hypothetical Bid Functions," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 157(3), pages 413-413, September.
    14. Cammack, Elizabeth B, 1991. "Evidence on Bidding Strategies and the Information in Treasury Bill Auctions," Journal of Political Economy, University of Chicago Press, vol. 99(1), pages 100-130, February.
    15. Lawrence M. Ausubel & Peter Cramton, 1997. "Auctioning Securities," Papers of Peter Cramton 98wpas, University of Maryland, Department of Economics - Peter Cramton, revised Mar 1998.
    16. Spindt, Paul A. & Stolz, Richard W., 1992. "Are US treasury bills underpriced in the primary market?," Journal of Banking & Finance, Elsevier, vol. 16(5), pages 891-908, September.
    17. Back, Kerry & Zender, Jaime F, 1993. "Auctions of Divisible Goods: On the Rationale for the Treasury Experiment," Review of Financial Studies, Society for Financial Studies, vol. 6(4), pages 733-764.
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    Cited by:

    1. Michał Krawczyk, 2009. "Demand functions in Polish Treasury auctions," Bank i Kredyt, Narodowy Bank Polski, vol. 40(4), pages 31-49.

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