[PDF] Treasury Bill Auctions eBook

Author : Mr.Carlo Cottarelli
Publisher : International Monetary Fund
Page : 70 pages
File Size : 12,46 MB
Release : 1994-11-01
Category : Business & Economics
ISBN : 1451855648

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We review the main issues that arise in the design of treasury bill auctions and survey the relevant empirical literature. We also provide a detailed description of the actual design of these auctions in a sample of 42 industrial and developing countries.

Author : Daniel C. L. Hardy
Publisher : International Monetary Fund
Page : 36 pages
File Size : 15,9 MB
Release : 2000-06
Category : Business & Economics
ISBN :

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Behavior in the first three years of auctions for Pakistani treasury bills is studied. Bidding strategies rapidly converged to a consistent pattern after the auctions started in 1991. Factors are identified that influenced the expected profitability of auction participation, which was on average low and did not differ between types of bidders. Prices bid are found to reflected both ‘buy and sell’ and ‘buy and hold’ strategies, and were affected by risk considerations and bidder-specific variables. The Pakistani experience suggests the robustness of auctions as a market-based allocation mechanism, and their value in public debt management.

Author : Daniel Hardy
Publisher :
Page : 31 pages
File Size : 21,36 MB
Release : 2006
Category :
ISBN :

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Behavior in the first three years of auctions for Pakistani treasury bills is studied. Bidding strategies rapidly converged to a consistent pattern after the auctions started in 1991. Factors are identified that influenced the expected profitability of auction participation, which was on average low and did not differ between types of bidders. Prices bid are found to reflected both 'buy and sell' and 'buy and hold' strategies, and were affected by risk considerations and bidder-specific variables. The Pakistani experience suggests the robustness of auctions as a market-based allocation mechanism, and their value in public debt management.

Author : Patrick J. G. Van Cayseele
Publisher :
Page : 30 pages
File Size : 31,27 MB
Release : 1999
Category :
ISBN :

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In many countries, treasury bills are sold using an auction mechanism. In addition, the treasury also offers the bills for sale after the auction, by posting a price equal to the winning bid in de preceeding auction. Only some players (typically market makers) may buy at this price, and only up to a fraction of the volume that is sold in the auction. At all times, these market makers keep the market for treasury bills liquid by quoting bid and ask prices at which they are willing to enter into a trade. We show that particular conditions exist where the treasury benefits from using a combination of auctions and posted prices, at the same time explaining some stylized facts in the empirical literature on treasury bill auctions.

Author : Sushil Bikhchandani
Publisher : Forgotten Books
Page : 46 pages
File Size : 37,85 MB
Release : 2018-03-23
Category : Business & Economics
ISBN : 9780365459170

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Excerpt from Auctions With Resale Markets: A Model of Treasury Bill Auctions The Treasury bills are then delivered to the winning bidders and can be resold at an active secondary market. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.

Author : H. Kent Baker
Publisher : Financial Markets and Investme
Page : 833 pages
File Size : 48,63 MB
Release : 2019-09-05
Category : Business & Economics
ISBN : 019087743X

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Debt Markets and Investments provides an overview of the dynamic world of markets, products, valuation, and analysis of fixed income and related securities. Experts in the field, practitioners and academics, offer both diverse and in-depth insights into basic concepts and their application to increasingly intricate and real-world situations. This volume spans the entire spectrum from theoretical to practical, while attempting to offer a useful balance of detailed and user-friendly coverage. The volume begins with the basics of debt markets and investments, including basic bond terminology and market sectors. Among the topics covered are the relationship between fixed income and other asset classes as well as the differences in fundamental risk. Particular emphasis is given to interest rate risk as well as credit risks as well as those associated with inflation, liquidity, reinvestment, and ESG. Authors then turn to market sectors, including government debt, municipal bonds, the markets for corporate bonds, and developments in securitized debt markets along with derivatives and private debt markets. The third section focuses on models of yield curves, interest rates, and swaps, including opportunities for arbitrage. The next two sections focus on bond and securitized products, from sovereign debt and mutual funds focused on bonds to how securitization has increased liquidity through such innovations as mortgaged-and asset- backed securities, as well as collateralized debt-, bond-, and loan obligations. Authors next discuss various methods of valuation of bonds and securities, including the use of options and derivatives. The volume concludes with discussions of how debt can play a role in financial strategies and portfolio creation. Readers interested in a broad survey will benefit as will those looking for more in-depth presentations of specific areas within this field of study. In summary, the book provides a fresh look at this intriguing and dynamic but often complex subject.