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Treasury Auctions and Secondary Market Dynamics. An Analysis Based on the MTS Market for Italy

Author

Listed:
  • Gianluca Cafiso

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.

Suggested Citation

  • Gianluca Cafiso, 2015. "Treasury Auctions and Secondary Market Dynamics. An Analysis Based on the MTS Market for Italy," CESifo Working Paper Series 5357, CESifo.
    • Handle: RePEc:ces:ceswps:_5357
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    File URL: https://www.cesifo.org/DocDL/cesifo1_wp5357.pdf
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    More about this item

    Keywords

    primary market; secondary market; MTS market; treasury auctions; government bonds; market micro-structure; regime volatility;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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