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Israeli Treasury Auction Reform

Author

Listed:
  • Orly Sade

    (The Hebrew University of Jerusalem)

  • Roy Stein

    (Bank of Israel)

  • Zvi Wiener

    (The Hebrew University of Jerusalem)

Abstract

This study uses a unique proprietary database in order to investigate the results of the 2006 reform in which primary dealers were introduced into the Israeli Treasury securities market. The study compares the results of the treasury auctions before, during and after implementation of the reform. The study uses an intra-day database for analyzing the effect of the reform on liquidity, in addition to the full demand and winnings database of each auction. The data enables us to test the result of the reform on the bond market and to measure the cost of government financing by presenting a number of measures for the auction premium We show that after allowing for other relevant variables, the price in the auction, relative to the price in the secondary market at the same time, declined by as statistically significant extent due to the reform. We also show that the uncertainty-related variables which we investigated have a negative effect on the auction premium—but only after the reform, while before the reform there was no effect. We show that while the auction premium was declined as a result of the reform, the dynamics of the price changes in the secondary market around the auctions changed significantly.

Suggested Citation

  • Orly Sade & Roy Stein & Zvi Wiener, 2013. "Israeli Treasury Auction Reform," Bank of Israel Working Papers 2013.09, Bank of Israel.
    • Handle: RePEc:boi:wpaper:2013.09
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    Cited by:

    1. is not listed on IDEAS
    2. Ari Kutai & Daniel Nathan & Milena Wittwer, 2024. "Exchanges for government bonds? Evidence during COVID-19," Bank of Israel Working Papers 2024.03, Bank of Israel.

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