This paper models the U.S. Treasury securities auction market and demonstrates that market manipulation can occur in a rational equilibrium. It is a dynamic model with traders participating in a quot;when-issuedquot; market, a Treasury auction, and a resale mark et. Manipulations occur when...

This paper develops in a new framework, an equilibrium model of the U.S. Treasury Securities auction market under both discriminatory and uniform price auction rules. In the model, traders participate in forward trading of Treasury securities in a quot;when-issuedquot; market before the Treasury...