The Demand for Treasury Securities at Auction
This study empirically analyzes the demand for Treasury securities at auctions over the period October 1998 through July 2010 from the perspective of bid composition and the influence of demand at auction on the secondary market. The results show that the demand at auction, measured by bid dispersion, is positively related to the bid-to-cover ratio but is negatively associated with the percentage of accepted competitive bids as well as the percentage of noncompetitive bids. Post-auction returns are positively related to demand at auction. The findings suggest the existence of arbitrage opportunities resulting from the price discrepancy between the auction and the secondary market when the demand for Treasury securities at auction is high.
|Date of creation:||13 Sep 2011|
|Publication status:||Published in Academy of Economics and Finance Journal 1.3(2012): pp. 23-32|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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- Paul Klemperer, 2002.
"What Really Matters in Auction Design,"
Journal of Economic Perspectives,
American Economic Association, vol. 16(1), pages 169-189, Winter.
- Professor Paul Klemperer, 2000. "What Really Matters in Auction Design," Microeconomics 0004008, EconWPA.
- Klemperer, Paul, 2000. "What Really Matters in Auction Design," CEPR Discussion Papers 2581, C.E.P.R. Discussion Papers.
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- 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.
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