Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/208242
Autoren: 
Sigaux, Jean-David
Datum: 
2018
Schriftenreihe/Nr.: 
ECB Working Paper No. 2208
Zusammenfassung: 
I develop and test a model explaining the gradual price decrease observed in the days leading up to anticipated asset sales such as Treasury auctions. In the model, risk-averse investors expect an uncertain increase in the net supply of a risky asset. They face a trade-off between hedging the supply uncertainty with long positions, and speculating with short positions. As a result of hedging, the equilibrium price is above the expected price. As the supply shock approaches, uncertainty decreases due to the arrival of information, investors hedge less and speculate more, and the price decreases. In line with these predictions, meetings between the Treasury and primary dealers, as well as auction announcements, explain a 2.4 bps yield increase in Italian Treasuries.
Schlagwörter: 
anticipated supply shocks
supply risk
Treasury auctions
market making
JEL: 
G11
G12
E43
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-3313-1
Dokumentart: 
Working Paper

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