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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.942603&sl=1
| Ministère/Organisme | Bank of Canada, issuing body. |
|---|---|
| Titre | Entry and exit in treasury auctions / by Jason Allen, Ali Hortaçsu, Eric Richert and Milena Wittwer. |
| Titre de la série | Staff working paper = Document de travail du personnel, 1701-9397 ; 2024-29 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | ISSN assigned to different series. "Last updated: July 31, 2024." Includes bibliographical references. Includes abstracts in English and French. |
| Information sur la publication | [Ottawa] : Bank of Canada = Banque du Canada, 2024. ©2024 |
| Auteur / Contributeur | Allen, Jason, author. |
| Description | 1 online resource (ii, 41, 34 pages) : illustrations (chiefly colour). |
| Numéro de catalogue |
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| Descripteurs | 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. |
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