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with these predictions, meetings between the Treasury and primary dealers, as well as auction announcements, explain a 2 …
Persistent link: https://www.econbiz.de/10013315375
increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present … is no auction, is very similar to the secondary-market behavior of the auctioned series. These findings support an …
Persistent link: https://www.econbiz.de/10013315717
This paper contributes to the existing literature on central bank repo auctions. It is based on a structural econometric approach, whereby the primitives of bidding behavior (individual bid schedules and bid-shading components) are directly estimated. With the estimated parameters we calibrate a...
Persistent link: https://www.econbiz.de/10013316900
This paper investigates the relationship between central bank (reverse) auctions and bill market liquidity. The analysis includes data on the purchases of bills in the auctions by the Dutch Central Bank under the European Central Bank’s Pandemic Emergency Purchase Programme (PEPP). The results...
Persistent link: https://www.econbiz.de/10013403023
uncertainty. Positive/negative bubbles arise when prior public beliefs about the aggregate productivity of producers (business …
Persistent link: https://www.econbiz.de/10013081636
Earlier research has shown that euro-area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following the auctions. This effect is stronger when...
Persistent link: https://www.econbiz.de/10012956251
Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that allowing for these rich features of earnings dynamics, in the context of a structurally estimated life-cycle portfolio choice model, helps to rationalize the limited participation...
Persistent link: https://www.econbiz.de/10014374598
Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that allowing for these rich features of earnings dynamics, in the context of a structurally estimated life-cycle portfolio choice model, helps to rationalize the limited participation...
Persistent link: https://www.econbiz.de/10014348942
We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...
Persistent link: https://www.econbiz.de/10011605442
This paper contributes to the existing literature on central bank repoauctions. It is based on a structural econometric approach, whereby the primitives of bidding behavior (individual bid schedules and bid-shading components) are directly estimated. With the estimated parameters we calibrate a...
Persistent link: https://www.econbiz.de/10011604839