Research Discussion Papers, Bank of Finland
No 16/2002:
A descriptive analysis of the Finnish treasury bond market 1991–1999
Matti Keloharju, Markku Malkamäki, Kjell G. Nyborg and Kristian Rydqvist
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.
Keywords: treasury bond auctions; secondary market; (follow links to similar papers)
JEL-Codes: D44; G12; G20; (follow links to similar papers)
30 pages, July 9, 2002
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