Economic Announcements and the Timing of Public Debt AuctionsMost treasuries around the world sell their securities at auctions either directly or indirectly through an agent, usually the central bank. Although they can control both the rules and the timing of the auction, they may not be able to control the information and valuations of bidders. The purpose of this paper is to identify those economic indicators whose announcement is likely to have a significant impact on government securities prices and, hence, on bidders’ behavior at auctions of government securities. This information could be used to schedule treasury securities auctions so as to minimize public debt management costs. |
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Economic Announcements and the Timing of Public Debt Auctions Mr. Marco Rossi No preview available - 1998 |
Common terms and phrases
5x1 vector abnormal returns Absolute values affect gilt prices affected with returns assess asset prices auction theory auctioneer's expected revenue auctions either directly Bank of England basis points bid more conservatively bidders may shade bidding attitude Bundesbank meetings Chancellor/Governor meetings debt management economic announcements economic indicator announced event studies explanatory variables Forecasts of U.K. foreign indicators significantly Friday 4 basis future interest rates government bonds impact on gilt indicators significantly affect indicators whose announcement investors LCS SIGS LIGS least affected long conventionals long index-linked gilts market returns matrix of coefficients MCs LCS SIGS monetary aggregates M3 nonfarm payroll figures sample period sensible for treasuries shade bids SHCS MCs LCS Short index-linked gilts significantly affect gilt slight on average test for unbiasedness treasuries securities types of gilts U.K. gilt market U.K. unemployment U.S. nonfarm payroll uncertainty unexpected component United Kingdom value resale when-issued market winner's curse zero-sum game