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A descriptive analysis of the Finnish treasury bond market 1991–1999

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Author Info
Matti Keloharju (Helsinki School of Economics, Finland.)
Markku Malkamäki (Evli Bank Plc)
Kjell G. Nyborg (London Business School)
Kristian Rydqvist (Norwegian School of Management)

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Abstract

This paper presents a descriptive analysis of the primary and secondary market for Finnish treasury bonds. The paper focuses on three issues. First, we report basic descriptive statistics such as auction volumes and secondary market yields and volumes. Second, we estimate the revenues earned by primary dealers from the treasury bond market. Third, we analyse the development of the price of the auctioned bonds, relative to other benchmark bonds, around the time of the auction. We find evidence of a price decrease in the auctioned bond series before the auction and a price increase after the auction. This pattern is strongest for 1992–1994 when Treasury funding needs were heavy and secondary market trading volume of treasury bonds was modest.

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Paper provided by EconWPA in its series Finance with number 0405017.

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Date of creation: 14 May 2004
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Handle: RePEc:wpa:wuwpfi:0405017

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Related research
Keywords: treasury bond auctions; secondary market;

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Find related papers by JEL classification:
D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G20 - Financial Economics - - Financial Institutions and Services - - - General

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Junttila, Juha, 2002. "Forecasting the macroeconomy with current financial market information: Europe and the United States," Research Discussion Papers 2/2002, Bank of Finland. [Downloadable!]
  2. Francis, Bill B & Hasan, Iftekhar & Hunter , Delroy M., 2002. "Return-volatility linkages in the international equity and currency markets," Research Discussion Papers 9/2002, Bank of Finland. [Downloadable!]
    Other versions:
  3. Hyytinen, Ari & Kuosa, Iikka & Takalo, Tuomas, 2002. "Law of finance: Evidence from Finland," Research Discussion Papers 8/2002, Bank of Finland. [Downloadable!]
    Other versions:
  4. Hasan, Iftekhar & Malkamäki, Markku & Schmiedel, Heiko, 2002. "Technology, automation, and productivity of stock exchanges: International evidence," Research Discussion Papers 4/2002, Bank of Finland. [Downloadable!]
    Other versions:
  5. Kaushik Mitra & Seppo Honkapohja, 2004. "Performance of Monetary Policy with Internal Central Bank Forecasting," Royal Holloway, University of London: Discussion Papers in Economics 04/18, Department of Economics, Royal Holloway University of London, revised Jul 2004. [Downloadable!]
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  6. Välimäki, Tuomas, 2002. "Bidding in fixed rate tenders: theory and experience with the ECB tenders," Research Discussion Papers 1/2002, Bank of Finland. [Downloadable!]
  7. Hasan , Iftekhar & Sarkar, Sudipto, 2002. "Banks’ option to lend, interest rate sensitivity, and credit availability," Research Discussion Papers 15/2002, Bank of Finland. [Downloadable!]
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  8. Kanniainen, Vesa & Leppämäki, Mikko, 2002. "Financial institutions and the allocation of talent," Research Discussion Papers 5/2002, Bank of Finland. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Kauko, Karlo, 2002. "Links between securities settlement systems: An oligopoly theoretic approach," Research Discussion Papers 27/2002, Bank of Finland. [Downloadable!]
  2. Matti Keloharju & Kjell G. Nyborg & Kristian Rydqvist, 2003. "Strategic Behavior and Underpricing in Uniform Price Auctions," Working Papers 2003.25, Fondazione Eni Enrico Mattei. [Downloadable!]
  3. Peik Granlund, 2004. "Bank exit legislation in US, EU and Japanese financial centres," Finance 0405015, EconWPA. [Downloadable!]
  4. Mikko Niskanen, 2004. "Lender of last resort and the moral hazard problem," Macroeconomics 0405016, EconWPA. [Downloadable!]
  5. Karlo Kauko, 2004. "Links between securities settlement systems: An oligopoly theoretic approach," Industrial Organization 0405003, EconWPA. [Downloadable!]
  6. Granlund , Peik, 2002. "Bank exit legislation in US, EU and Japanese financial centres," Research Discussion Papers 25/2002, Bank of Finland. [Downloadable!]
  7. Coluzzi, Chiara & Ginebri, Sergio & Turco, Manuel, 2008. "Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers esdp08044, University of Molise, Dept. SEGeS. [Downloadable!]
  8. Keloharju, Matti & Nyborg, Kjell G & Rydqvist, Kristian, 2002. "Strategic Behaviour and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions," CEPR Discussion Papers 3586, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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