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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, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:0405017
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    References listed on IDEAS

    as
    1. Ari Hyytinen & Iikka Kuosa & Tuomas Takalo, 2003. "Law or Finance: Evidence from Finland," European Journal of Law and Economics, Springer, vol. 16(1), pages 59-89, July.
    2. Junttila, Juha, 2002. "Forecasting the macroeconomy with current financial market information : Europe and the United States," Research Discussion Papers 2/2002, Bank of Finland.
    3. Honkapohja, Seppo & Mitra, Kaushik, 2005. "Performance of monetary policy with internal central bank forecasting," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 627-658, April.
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    Citations

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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, 2002. "Links between securities settlement systems : An oligopoly theoretic approach," Research Discussion Papers 27/2002, Bank of Finland.
    3. 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.
    4. Peik Granlund, 2004. "Bank exit legislation in US, EU and Japanese financial centres," Finance 0405015, EconWPA.
    5. Mikko Niskanen, 2004. "Lender of last resort and the moral hazard problem," Macroeconomics 0405016, EconWPA.
    6. 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.
    7. 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, Dept. EGSeI.

    More about this item

    Keywords

    treasury bond auctions; secondary market;

    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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