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

Author

Listed:
  • Matti Keloharju

    (Helsinki School of Economics, Finland.)

  • Markku Malkamäki

    (Evli Bank Plc)

  • Kjell G. Nyborg

    (London Business School)

  • Kristian Rydqvist

    (Norwegian School of Management)

Abstract

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.

Suggested Citation

  • Matti Keloharju & Markku Malkamäki & Kjell G. Nyborg & Kristian Rydqvist, 2004. "A descriptive analysis of the Finnish treasury bond market 1991–1999," Finance 0405017, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0405017
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    References listed on IDEAS

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    Cited by:

    1. Matti Keloharju & Kjell G. Nyborg & Kristian Rydqvist, 2003. "Strategic Behavior and Underpricing in Uniform Price Auctions," Working Papers 2003.25, Fondazione Eni Enrico Mattei.
    2. Kauko, Karlo, 2004. "The links between securities settlement systems: An oligopoly theoretic approach," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 585-600.
    3. Sigaux, Jean-David, 2024. "Trading ahead of treasury auctions," Journal of Banking & Finance, Elsevier, vol. 158(C).
    4. Mikko Niskanen, 2004. "Lender of last resort and the moral hazard problem," Macroeconomics 0405016, University Library of Munich, Germany.
    5. Matti Keloharju & Kjell G. Nyborg & Kristian Rydqvist, 2005. "Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions," Journal of Finance, American Finance Association, vol. 60(4), pages 1865-1902, August.
    6. Rui Albuquerque & José Miguel Cardoso-Costa & José Afonso Faias, 2024. "Price elasticity of demand and risk-bearing capacity in sovereign bond auctions," The Review of Financial Studies, Society for Financial Studies, vol. 37(10), pages 3149-3187.
    7. Peik Granlund, 2004. "Bank exit legislation in US, EU and Japanese financial centres," Finance 0405015, University Library of Munich, Germany.
    8. Andrea Coppola & Alessandro Girardi & Gustavo Piga, 2013. "Overcrowding Versus Liquidity In The Euro Sovereign Bond Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 18(4), pages 307-318, October.
    9. Billio, M. & Busetto, F. & Dufour, A. & Varotto, S., 2025. "Bond supply expectations and the term structure of interest rates," Journal of International Money and Finance, Elsevier, vol. 150(C).
    10. Coluzzi, Chiara & Ginebri, Sergio & Turco, Manuel, 2008. "Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers esdp08044, University of Molise, Department of Economics.

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    Keywords

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    JEL classification:

    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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