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Informational Advantage in US Treasury Auctions
Tchuindjo, Leonard - 2019
We extend Wilson (1979) share auction framework to model the uniform-price US Treasury auction as a two-stage multiple … its bidding behavior in handling the risk of being short-squeezed or face the winner curse in the post-auction market …
Persistent link: https://www.econbiz.de/10012893365
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Pre-Auction Short Positions and Impacts on Primary Dealers' Bidding Behavior in US Treasury Auctions
Tchuindjo, Leonard - 2019
We model the uniform-price US Treasury security auction as a static symmetric game of incomplete information in which … each payer is a primary dealer who submits a demand schedule given two independent sources of private information – his pre-auction … we show how his pre-auction short position impacts his bidding behavior – in particular: the dealer's demand for the …
Persistent link: https://www.econbiz.de/10012905263
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Why Do We Need Both Liquidity Regulations and a Lender of Last Resort? A Perspective from Federal Reserve Lending During the 2007-09 US Financial Crisis
Carlson, Mark A. - 2015
During the 2007-09 financial crisis, there were severe reductions in the liquidity of financial markets, runs on the shadow banking system, and destabilizing defaults and near-defaults of major financial institutions. In response, the Federal Reserve, in its role as lender of last resort (LOLR),...
Persistent link: https://www.econbiz.de/10013026757
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"Where’s my swap line?" : a money view of international lender of last resort
Mehrling, Perry - In: Jahrbuch für Wirtschaftsgeschichte 63 (2022) 2, pp. 559-574
The past two decades have seen the construction of a tiered system of international liquidity provision, the first tier including those whose credit is sufficient for a swap line with the Fed, the second tier including those who can offer acceptable collateral to the Fed, and the third tier...
Persistent link: https://www.econbiz.de/10013447685
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On the interaction between product markets and markets for production capacity : the case of the electricity industry
Richter, Jan - 2012
the spot market. -- capacity market ; procurement auction ; electricity market ; competitive equilibrium …
Persistent link: https://www.econbiz.de/10009743582
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Comparing open and sealed bid auctions : theory and evidence from timber auctions
Athey, Susan; Levin, Jonathan; Seira, Enrique - 2004
.S. Forest Service timber auctions, we document a set of systematic effects of auction format: sealed bid auctions attract more … for these qualitative effects of auction format. We then calibrate the model using parameters estimated from the data and … bidder competitiveness, which has important consequences for auction choice. …
Persistent link: https://www.econbiz.de/10011607074
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Comparing open and sealed bid auctions : theory and evidence from timber auctions
Athey, Susan; Levin, Jonathan; Seira, Enrique - 2004
Persistent link: https://www.econbiz.de/10002994053
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The quality of price formation at market openings and closings : evidence from the Nasdaq stock market
Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - 2008
We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing call auctions (introduced in 2004) have had on price formation. Our use of measurement intervals of one minute or less sharpens the picture of intra-day volatility...
Persistent link: https://www.econbiz.de/10003831253
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The Neapolitan banks in the context of early modern public banks
Velde, François R. - 2018
I examine the Neapolitan public banks, a group of non-profit institutions that emerged in the late sixteenth century, in the context of the early public banks that existed elsewhere in early modern Europe. In terms of size and stability they compare well with their peers, in spite of a difficult...
Persistent link: https://www.econbiz.de/10011805879
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Did the founding of the Federal Reserve affect the vulnerability of the interbank system to systemic risk?
Carlson, Mark; Wheelock, David C. - 2016 - Draft: July 18, 2016
As a result of legal restrictions on branch banking, an extensive interbank system developed in the United States during the 19th century to facilitate interregional payments and flows of liquidity and credit. Vast sums moved through the interbank system to meet seasonal and other demands, but...
Persistent link: https://www.econbiz.de/10011578151