Sehr geehrte Damen und Herren,
Wir laden Sie herzlich zum VOSTA Freitagsseminar von Herrn Martin Gonzalez Eiras,
University of Copenhagen, mit dem Titel "Liquidity Shocks, Market Maker Turnover, and Bidding Behavior in Treasury Auctions"
ein.
Termin:
Freitag, 25. Mai 2018, 11:00 Uhr
Ort:
Oesterreichische Nationalbank
Veranstaltungssaal, Erdgeschoss
Otto-Wagner-Platz 3
1090 Wien
Abstract:
We use bid data from Argentinian Treasury bill auctions from 1996 to 2000 to study how banks’ balance sheet and past performance affect
bidding behavior. Exploiting variation in regulations for market mak- ing activity we show that when banks fear losing their market maker status, they bid more aggressively. They also bid more aggressively for existing securities that are reissued when the
regulation tightens the requirements for secondary market participation. Consistent with regulations which imply that auctioned securities are not a prime source of liquidity, we find that banks which face liquidity needs bid less aggressively for them. A
novel implication of our results is that in institutional settings that feature turnover of market makers, bidding behavior should be modeled in a dynamic setting. We introduce a dynamic model and show that static estimates over-predict true valuations when
market makers may lose their status.
Um Ihre verlässliche
An- bzw. Abmeldung ersuchen wir bis Dienstag,
22. Mai 2018, unter event-management@oenb.at.
Mit freundlichen Grüßen,
Event-Management
