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Estimation des marges sur l’adjudication des valeurs du Trésor : le cas des OAT sur la période 1992-1997

Author

Listed:
  • Raphaële Préget

    (LEF - Laboratoire d'Economie Forestière - INRA - Institut National de la Recherche Agronomique - AgroParisTech)

Abstract

L'étude empirique vise à évaluer les marges des enchérisseurs sur les adjudications des obligations assimilables du Trésor français (OAT). Les résultats d'une comparaison directe montrent que sur la période 1992-1997 les prix aux enchères étaient en moyenne inférieurs aux prix du marché. Cependant, la prise en compte de délais de règlement et de livraison différents aux adjudications et sur le marché secondaire permet d'expliquer en partie l'écart de prix. En outre, l'auteur met en évidence un impact significatif de la structure de la courbe des taux sur les stratégies d'enchères des participants aux adjudications. Ceci remet en cause l'existence d'une marge positive structurelle pour les enchérisseurs. Le résultat, validé par des tests de Wilcoxon, conforte l'usage de la procédure d'enchère discriminatoire en France.

Suggested Citation

  • Raphaële Préget, 2004. "Estimation des marges sur l’adjudication des valeurs du Trésor : le cas des OAT sur la période 1992-1997," Post-Print hal-01072922, HAL.
    • Handle: RePEc:hal:journl:hal-01072922
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    Keywords

    OAT;

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