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Discriminatory versus uniform Treasury auctions: Evidence from when-issued transactions

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Cited by:

  1. Peyman Khezr & Anne Cumpston, 2022. "A review of multiunit auctions with homogeneous goods," Journal of Economic Surveys, Wiley Blackwell, vol. 36(4), pages 1225-1247, September.
  2. Matti Keloharju & Kjell G. Nyborg & Kristian Rydqvist, 2003. "Strategic Behavior and Underpricing in Uniform Price Auctions," Working Papers 2003.25, Fondazione Eni Enrico Mattei.
  3. Alan Mehlenbacher, 2007. "Multiagent System Simulations of Treasury Auctions," Department Discussion Papers 0709, Department of Economics, University of Victoria.
  4. Kenneth D. Garbade & Jeffrey F. Ingber, 2005. "The Treasury auction process: objectives, structure, and recent acquisitions," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 11(Feb).
  5. Elskamp, Rebecca, 2015. "Empirical Documentation of Bid Shading in the Discriminatory Auction," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205093, Agricultural and Applied Economics Association.
  6. Agarwal, Vikas & Fung, William H. & Loon, Yee Cheng & Naik, Narayan Y., 2011. "Risk and return in convertible arbitrage: Evidence from the convertible bond market," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 175-194, March.
  7. Michael J. Fleming & Kenneth D. Garbade & Frank Keane, 2005. "Anomalous Bidding In Short‐Term Treasury Bill Auctions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 28(2), pages 165-176, June.
  8. Pasquariello, Paolo & Vega, Clara, 2009. "The on-the-run liquidity phenomenon," Journal of Financial Economics, Elsevier, vol. 92(1), pages 1-24, April.
  9. Angelo Ranaldo & Enzo Rossi, 2016. "Uniform-price auctions for Swiss government bonds: Origin and evolution," Economic Studies 2016-10, Swiss National Bank.
  10. Abbink, Klaus & Brandts, Jordi & Pezanis-Christou, Paul, 2006. "Auctions for government securities: A laboratory comparison of uniform, discriminatory and Spanish designs," Journal of Economic Behavior & Organization, Elsevier, vol. 61(2), pages 284-303, October.
  11. David Goldreich, 2004. "Behavioral Biases of Dealers in U.S. Treasury Auctions," Working Papers 2004.143, Fondazione Eni Enrico Mattei.
  12. Monostori, Zoltán, 2013. "Diszkriminatív áras és egyenáras aukciók [Discriminatory and uniform-price auctions]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 1048-1074.
  13. Alvarez, Francisco & Mazon, Cristina, 2007. "Comparing the Spanish and the discriminatory auction formats: A discrete model with private information," European Journal of Operational Research, Elsevier, vol. 179(1), pages 253-266, May.
  14. Erwann SbaÏ & Olivier Armantier, 2006. "Estimation and comparison of treasury auction formats when bidders are asymmetric," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 745-779.
  15. Keloharju, Matti & Malkamäki, Markku & Nyborg, Kjell G. & Rydqvist, Kristian, 2002. "A Descriptive analysis of the Finnish treasury bond market 1991-1999," Bank of Finland Research Discussion Papers 16/2002, Bank of Finland.
  16. Rhee, S. Ghon, 2001. "Further Reforms of the JGB Market for the Promotion of Regional Bond Markets," CEI Working Paper Series 2001-14, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
  17. Keunkwan Ryu & Gyung-Rok Kim & Seonghwan Oh, 2004. "Discriminatory vs Uniform Price Auction: Auction Revenue," Econometric Society 2004 Far Eastern Meetings 539, Econometric Society.
  18. Fuhrer, Lucas Marc & Giese, Julia, 2021. "Gilt auctions and secondary market dynamics," Finance Research Letters, Elsevier, vol. 38(C).
  19. He, Yan & Lin, Hai & Wang, Junbo & Wu, Chunchi, 2009. "Price discovery in the round-the-clock U.S. Treasury market," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 464-490, July.
  20. Bruce Mizrach & Christopher J. Neely, 2006. "The transition to electronic communications networks in the secondary treasury market," Review, Federal Reserve Bank of St. Louis, vol. 88(Nov), pages 527-542.
  21. Goldreich, David, 2003. "Underpricing in Discriminatory and Uniform-Price Treasury Auctions," CEPR Discussion Papers 4105, C.E.P.R. Discussion Papers.
  22. Saikat Nandi, 1997. "Treasury auctions: what do the recent models and results tell us?," Economic Review, Federal Reserve Bank of Atlanta, vol. 82(Q 4), pages 4-15.
  23. Daripa, Arupratan, 2001. "A theory of treasury auctions," Journal of International Money and Finance, Elsevier, vol. 20(6), pages 743-767, November.
  24. Hans Haller & Yvan Lengwiler, 1998. "A discrete model of discriminatory price auctions - an alternative to Menezes-Monteiro," Finance and Economics Discussion Series 1998-08, Board of Governors of the Federal Reserve System (U.S.).
  25. Haoran He & Yefeng Chen, 2021. "Auction mechanisms for allocating subsidies for carbon emissions reduction: an experimental investigation," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 57(2), pages 387-430, August.
  26. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis.
  27. Han, Bing & Longstaff, Francis A. & Merrill, Craig, 2005. "The Cherry-Picking Option in the U.S. Treasury Buyback Auctions," Working Paper Series 2004-23, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  28. Herb, Patrick, 2025. "The treasury auction risk premium," Journal of Banking & Finance, Elsevier, vol. 170(C).
  29. Michael J. Fleming & Neel Krishnan, 2012. "The microstructure of the TIPS market," Economic Policy Review, Federal Reserve Bank of New York, vol. 18(Mar), pages 27-45.
  30. Ali Hortacsu & Jakub Kastl, "undated". "Informational Advantage and Information Structure: An Analysis of Canadian Treasury Auctions," Discussion Papers 09-031, Stanford Institute for Economic Policy Research.
  31. Agarwal, Vikas & Fung, William H. & Loon, Yee Cheng & Naik, Narayan Y., 2004. "Risk and return in convertible arbitrage: Evidence from the convertible bond market," CFR Working Papers 04-03, University of Cologne, Centre for Financial Research (CFR).
  32. Chen, An-Sing & Liaw, Gwohorng & Leung, Mark T., 2003. "Stock auction bidding behavior and information asymmetries: An empirical analysis using the discriminatory auction model framework," Journal of Banking & Finance, Elsevier, vol. 27(5), pages 867-889, May.
  33. Dong Lou & Hongjun Yan & Jinfan Zhang, 2013. "Anticipated and Repeated Shocks in Liquid Markets," The Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 1891-1912.
  34. Kentaro Kawasaki & Takeshi Fujie & Kentaro Koito & Norikazu Inoue & Hiroki Sasaki, 2012. "Conservation Auctions and Compliance: Theory and Evidence from Laboratory Experiments," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 52(2), pages 157-179, June.
  35. Thordur Jonasson & Mr. Michael G. Papaioannou, 2018. "A Primer on Managing Sovereign Debt-Portfolio Risks," IMF Working Papers 2018/074, International Monetary Fund.
  36. Beetsma, Roel & Giuliodori, Massimo & de Jong, Frank & Widijanto, Daniel, 2016. "Price effects of sovereign debt auctions in the euro-zone: The role of the crisis," Journal of Financial Intermediation, Elsevier, vol. 25(C), pages 30-53.
  37. Owen Lamont, 2004. "Go Down Fighting: Short Sellers vs. Firms," NBER Working Papers 10659, National Bureau of Economic Research, Inc.
  38. Rodolfo Guerrero & José Luis Negrín, 2006. "Eficiencia del sistema bancario mexicano 1997-2004: una estimación dinámica," Monetaria, CEMLA, vol. 0(3), pages 235-259, julio-sep.
  39. Song, Zhaogang & Zhu, Haoxiang, 2018. "Quantitative easing auctions of Treasury bonds," Journal of Financial Economics, Elsevier, vol. 128(1), pages 103-124.
  40. Goodell, John W. & McGroarty, Frank & Urquhart, Andrew, 2015. "Political uncertainty and the 2012 US presidential election: A cointegration study of prediction markets, polls and a stand-out expert," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 162-171.
  41. Labrini Zarpala, 2023. "Auctioning Corporate Bonds: A Uniform-Price under Investment Mandates," Papers 2306.07134, arXiv.org.
  42. Nina Boyarchenko & David O. Lucca & Laura Veldkamp, 2015. "Taking orders and taking notes: dealer information sharing in financial markets," Staff Reports 726, Federal Reserve Bank of New York.
  43. Bower, John & Bunn, Derek, 2001. "Experimental analysis of the efficiency of uniform-price versus discriminatory auctions in the England and Wales electricity market," Journal of Economic Dynamics and Control, Elsevier, vol. 25(3-4), pages 561-592, March.
  44. Jean-Jacques Laffont, 1998. "Théorie des jeux et économie empirique : le cas des données issues d'enchères," Économie et Prévision, Programme National Persée, vol. 132(1), pages 121-137.
  45. Deddy Koesrindartoto, 2003. "Treasury Auctions, Uniform or Discriminatory?: An Agent-based Approach," Computing in Economics and Finance 2003 241, Society for Computational Economics.
  46. Takahiro Hattori & Shogo Takahashi, 2021. "Discriminatory versus uniform auctions:Evidence from JGB market," Discussion papers ron344, Policy Research Institute, Ministry of Finance Japan.
  47. Klenio Barbosa & Dakshina De Silva & Liyu Yang & Hisayuki Yoshimoto, 2019. "Auction Mechanisms and Treasury Revenue," Working Papers 267027285, Lancaster University Management School, Economics Department.
  48. Kashyap, Ravi, 2018. "Auction theory adaptations for real life applications," Research in Economics, Elsevier, vol. 72(4), pages 452-481.
  49. Rhee, S. Ghon, 2000. "Further Reforms after the "BIG BANG": The Japanese Government Bond Market," CEI Working Paper Series 2000-3, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
  50. Dentler, Alexander & Rossi, Enzo, 2024. "Public debt management announcements: A welfare-theoretic analysis," Economic Modelling, Elsevier, vol. 131(C).
  51. Sigaux, Jean-David, 2024. "Trading ahead of treasury auctions," Journal of Banking & Finance, Elsevier, vol. 158(C).
  52. Boo‐Sung Kang & Steven L. Puller, 2008. "The Effect Of Auction Format On Efficiency And Revenue In Divisible Goods Auctions: A Test Using Korean Treasury Auctions," Journal of Industrial Economics, Wiley Blackwell, vol. 56(2), pages 290-332, June.
  53. Allen, Franklin & Haas, Marlene & Pirovano, Matteo & Tengulov, Angel, 2025. "How prevalent are short squeezes? Evidence from the US and Europe," Journal of Banking & Finance, Elsevier, vol. 176(C).
  54. Paul Klemperer, 2002. "What Really Matters in Auction Design," Journal of Economic Perspectives, American Economic Association, vol. 16(1), pages 169-189, Winter.
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