Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/110852
Authors: 
Cafiso, Gianluca
Year of Publication: 
2015
Series/Report no.: 
CESifo Working Paper 5357
Abstract: 
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.
Subjects: 
primary market
secondary market
MTS market
treasury auctions
government bonds
market micro-structure
regime volatility
JEL: 
G12
G14
G18
Document Type: 
Working Paper

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