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Trading ahead of treasury auctions
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| Personen und Körperschaften: | |
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| Titel: | Trading ahead of treasury auctions/ Jean-David Sigaux |
| Format: | E-Book |
| Sprache: | Englisch |
| veröffentlicht: |
Frankfurt am Main, Germany
European Central Bank
[2018]
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| Gesamtaufnahme: |
Europäische Zentralbank: Working paper series ; no 2208 (November 2018)
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| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Zusammenfassung: | I develop and test a model explaining the gradual price decrease observed in the days leading up to anticipated asset sales such as Treasury auctions. In the model, risk-averse investors expect an uncertain increase in the net supply of a risky asset. They face a trade-off between hedging the supply uncertainty with long positions, and speculating with short positions. As a result of hedging, the equilibrium price is above the expected price. As the supply shock approaches, uncertainty decreases due to the arrival of information, investors hedge less and speculate more, and the price decreases. In line with these predictions, meetings between the Treasury and primary dealers, as well as auction announcements, explain a 2.4 bps yield increase in Italian Treasuries. |
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| Umfang: | 1 Online-Ressource (circa 50 Seiten); Illustrationen |
| ISBN: |
9789289933131
9289933135 |
| DOI: | 10.2866/19937 |