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A descriptive analysis of the Finnish treasury bond market 1991–1999

  • Keloharju, Matti
  • Malkamäki, Markku
  • Nyborg, Kjell G.
  • Rydqvist, Kristian

This paper presents a descriptive analysis of the primary and secondary market for Finnish treasury bonds. The paper focuses on three issues. First, we report basic descriptive statistics such as auction volumes and secondary market yields and volumes. Second, we estimate the revenues earned by primary dealers from the treasury bond market. Third, we analyse the development of the price of the auctioned bonds, relative to other benchmark bonds, around the time of the auction. We find evidence of a price decrease in the auctioned bond series before the auction and a price increase after the auction. This pattern is strongest for 1992–1994 when Treasury funding needs were heavy and secondary market trading volume of treasury bonds was modest.

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File URL: http://www.suomenpankki.fi/en/julkaisut/tutkimukset/keskustelualoitteet/Documents/0216.pdf
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Paper provided by Bank of Finland in its series Research Discussion Papers with number 16/2002.

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Length: 30 pages
Date of creation: 09 Jul 2002
Date of revision:
Handle: RePEc:hhs:bofrdp:2002_016
Contact details of provider: Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland
Web page: http://www.suomenpankki.fi/en/

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  1. Hyytinen, Ari & Kuosa, Iikka & Takalo, Tuomas, 2002. "Law of finance: Evidence from Finland," Research Discussion Papers 8/2002, Bank of Finland.
  2. Iftekhar Hasan & Sudipto Sarkar, 2002. "Banks' option to lend, interest rate sensitivity, and credit availability," Review of Derivatives Research, Springer, vol. 5(3), pages 213-250, October.
  3. Kanniainen, Vesa & Leppämäki, Mikko, 2002. "Financial institutions and the allocation of talent," Research Discussion Papers 5/2002, Bank of Finland.
  4. Välimäki, Tuomas, 2002. "Bidding in fixed rate tenders: theory and experience with the ECB tenders," Research Discussion Papers 1/2002, Bank of Finland.
  5. Honkapohja, Seppo & Mitra, Kaushik, 2002. "Performance of monetary policy with internal central bank forecasting," Research Discussion Papers 3/2002, Bank of Finland.
  6. Francis, Bill B & Hasan, Iftekhar & Hunter , Delroy M., 2002. "Return-volatility linkages in the international equity and currency markets," Research Discussion Papers 9/2002, Bank of Finland.
  7. Hasan, Iftekhar & Malkamaki, Markku & Schmiedel, Heiko, 2003. "Technology, automation, and productivity of stock exchanges: International evidence," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1743-1773, September.
  8. Junttila, Juha, 2002. "Forecasting the macroeconomy with current financial market information: Europe and the United States," Research Discussion Papers 2/2002, Bank of Finland.
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