A Treasury

Competition in Treasury Auctions

We investigate the role of competition on the outcome of Austrian Treasury auctions. EU accession by Austria provides a ``natural experiment'' causing an exogenous increase in the number of bidders in Treasury Auctions. We use structural estimates of bidders' private values to examine the effect of increased competition on auction revenue and compare bidder surplus before and after the auction....

Competition in Austrian Treasury Auctions

We investigate the role of competition on the outcome of Austrian Treasury auctions. EU accession by Austria provides a “natural experiment” causing an exogenous increase in the number of bidders in Treasury Auctions. Difference-in-difference estimates suggest that the increased number in bidders caused a significant drop in the yields Austria had to pay for newly issued debt. We use structural...

Measuring Treasury Market Liquidity

This paper examines a comprehensive set of liquidity measures for the U.S. Treasury market. The measures are analyzed relative to one another, across securities, and over time. I find highly significant price impact coefficients, such that a simple model that explains price changes with net order flow produces an R statistic above 30% for the two-year note. The price impact coefficients are hig...

Treasury Bill Yields : Overlooked Information ∗

Suppose a risk premium factor denotes the time-varying market prices of risk in the Treasury bond market. The question is whether the risk premium factor affects bond prices. Equivalently, we may ask whether the factor is spanned by the crosssection of term structure. This paper finds that the factor is almost but not completely hidden from term structure. Particularly, Treasury bill yields are...

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