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| 02738nam 2200421zi 4500 |
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| 001 | 9.942603 |
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| 003 | CaOODSP |
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| 005 | 20240829112910 |
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| 006 | m o d f |
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| 007 | cr mn||||||||| |
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| 008 | 240829t20242024onca ob f000 0 eng d |
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| 040 | |aCaOODSP|beng|erda|cCaOODSP |
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| 041 | 0 |aeng|beng|bfre |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2024-29E-PDF |
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| 100 | 1 |aAllen, Jason, |eauthor. |
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| 245 | 10|aEntry and exit in treasury auctions / |cby Jason Allen, Ali Hortaçsu, Eric Richert and Milena Wittwer. |
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| 264 | 1|a[Ottawa] : |bBank of Canada = Banque du Canada, |c2024. |
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| 264 | 4|c©2024 |
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| 300 | |a1 online resource (ii, 41, 34 pages) : |billustrations (chiefly colour). |
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| 336 | |atext|btxt|2rdacontent |
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| 337 | |acomputer|bc|2rdamedia |
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| 338 | |aonline resource|bcr|2rdacarrier |
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| 490 | 1 |aStaff working paper = Document de travail du personnel, |y1701-9397 ; |v2024-29 |
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| 500 | |aISSN assigned to different series. |
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| 500 | |a"Last updated: July 31, 2024." |
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| 504 | |aIncludes bibliographical references. |
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| 520 | 3 |a"Many financial markets are populated by dealers, who commit to participate regularly in the market, and non-dealers, who do not commit. This market structure introduces a trade-off between competition and volatility, which we study using data on Canadian treasury auctions. We document a consistent exit trend by dealers and increasing, but irregular, participation by non-dealer hedge funds. Using a structural model, we evaluate the impact of dealer exit on hedge fund participation and its consequences for market competition and volatility. We find that hedge fund entry was partially driven by dealer exit, and that gains thanks to stronger competition associated with hedge fund entry are offset by losses due to the irregular market participation of hedge funds. We propose an issuance policy that stabilizes hedge fund participation at a sufficiently high average level and achieves revenue gains"--Abstract, page ii. |
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| 546 | |aIncludes abstracts in English and French. |
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| 650 | 0|aGovernment securities|xPurchasing|zCanada|xEconometric models. |
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| 650 | 0|aGovernment securities|xPrices|zCanada|xEconometric models. |
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| 650 | 0|aHedge funds|zCanada|xEconometric models. |
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| 650 | 6|aEffets publics|xAchat|zCanada|xModèles économétriques. |
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| 650 | 6|aEffets publics|xPrix|zCanada|xModèles économétriques. |
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| 650 | 6|aFonds spéculatifs|zCanada|xModèles économétriques. |
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| 710 | 2 |aBank of Canada, |eissuing body. |
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| 830 | #0|aStaff working paper (Bank of Canada)|v2024-29.|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s2.61 MB|uhttps://publications.gc.ca/collections/collection_2024/banque-bank-canada/FB3-5-2024-29-eng.pdf |
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