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Etude empirique de la demande dans les enchères de bons du Trésor

  • Raphaële Préget
  • Patrick Waelbroeck

[eng] Empirical study of market demand functions in treasury bill auctions This 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. [fre] Étude empirique de la demande dans les enchères de bons du Trésor Cet article propose d'étudier empiriquement les fonctions de demande agrégées observées dans les enchères de bons du Trésor français. Nous utilisons les résultats des 125 enchères discriminatoires de 1995 pour déterminer les facteurs qui affectent la forme des demandes observées. Nous procédons en deux étapes. Dans la première, nous estimons les courbes de demande par des fonctions logistiques. Dans la seconde étape, nous déterminons les variables qui expliquent la valeur des paramètres des fonctions logistiques d'une enchère à l'autre. Nos résul­tats offrent ainsi un outil de prévision de la demande pour les enchères à venir.

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Article provided by Programme National Persée in its journal Revue économique.

Volume (Year): 53 (2002)
Issue (Month): 3 ()
Pages: 403-414

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Handle: RePEc:prs:reveco:reco_0035-2764_2002_num_53_3_410412
Note: DOI:10.3406/reco.2002.410412
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