Entry and exit in treasury auctions / by Jason Allen, Ali Hortaçsu, Eric Richert and Milena Wittwer.: FB3-5/2024-29E-PDF
"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.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.942603&sl=0
| Department/Agency | Bank of Canada, issuing body. |
|---|---|
| Title | Entry and exit in treasury auctions / by Jason Allen, Ali Hortaçsu, Eric Richert and Milena Wittwer. |
| Series title | Staff working paper = Document de travail du personnel, 1701-9397 ; 2024-29 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | ISSN assigned to different series. "Last updated: July 31, 2024." Includes bibliographical references. Includes abstracts in English and French. |
| Publishing information | [Ottawa] : Bank of Canada = Banque du Canada, 2024. ©2024 |
| Author / Contributor | Allen, Jason, author. |
| Description | 1 online resource (ii, 41, 34 pages) : illustrations (chiefly colour). |
| Catalogue number |
|
| Subject terms | Government securities -- Purchasing -- Canada -- Econometric models. Government securities -- Prices -- Canada -- Econometric models. Hedge funds -- Canada -- Econometric models. Effets publics -- Achat -- Canada -- Modèles économétriques. Effets publics -- Prix -- Canada -- Modèles économétriques. Fonds spéculatifs -- Canada -- Modèles économétriques. |
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.- Date modified: