Treasury auctions and secondary market dynamics : an analysis based on the MTS market for Italy

Gianluca Cafiso

Auctions of government bonds are the main allotment method used by the Treasury of advanced economies. Previous research has found that auctions have an influence on the market yield days before they take place, and underpricing is usually spotted when their outcome is compared with contemporaneous market quotes. The objective of this research is to investigate deeper and more accurately these two findings by taking Italy as a case study. Our results question the so-called auction cycle and do not signal underpricing when a perfect matching between the auctioned bond and the market quote used is ensured.

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Year of publication:	2015
Authors:	Cafiso, Gianluca
Publisher:	München : CESifo
Subject:	primary market \| secondary market \| MTS market \| treasury auctions \| government bonds \| market micro-structure \| regime volatility \| Öffentliche Anleihe \| Public bond \| Italien \| Italy \| Auktion \| Auction \| Sekundärmarkt \| Secondary market \| Staatspapier \| Government securities \| Volatilität \| Volatility \| Auktionstheorie \| Auction theory \| Finanzmarkt \| Financial market \| Wertpapierhandel \| Securities trading \| Rentenmarkt \| Bond market