haku: @indexterm FINANCIAL ANALYSIS / yhteensä: 599
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| Tekijä: | Chatterjea, A. Jarrow, R. |
| Otsikko: | Market manipulation, price bubbles, and a model of the U.S. treasury securities auction market |
| Lehti: | Journal of Financial and Quantitative Analysis
1998 : JUN, VOL. 33:2, p. 255-289 |
| Asiasana: | FINANCIAL ANALYSIS SECURITIES USA |
| Kieli: | eng |
| Tiivistelmä: | This paper models the U.S. Treasury securities auction market and demonstrates that market manipulation can occur in a rational equilibrium. It is a dynamic model with traders participating in a "when-issued" market, a Treasury auction, and a resale market. Manipulations occur when dealers in the when-issued market use their knowledge of the net order flow in order to corner the auction and squeeze the shorts (from the when-issued market). The manipulation equilibrium generates bubbles in Treasury security prices and specials in repo rates. |
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