Anomalous bidding in short-term treasury bill auctions
By: Michael J. Fleming, Kenneth D. Garbade, and Frank Keane.
Contributors: Garbade, Kenneth D.; Keane, Frank, 1958-; Federal Reserve Bank of New York.
Series: Staff reports ;; no. 184; Staff reports (Federal Reserve Bank of New York : Online) ;; no. 184.
Publisher: Federal Reserve Bank of New York
Published: 2004
Place of publication: [New York, N.Y.]
Language: eng
Format: Electronic resource
Subjects: Treasury bills -- Purchasing -- United States -- Econometric models.; Government securities -- Prices -- United States -- Econometric models.; Rate of return -- United States -- Econometric models.
Description: "We show that Treasury bill auction procedures create classes of price-equivalent discount rates for bills with fewer than seventy-two days to maturity.  We argue that it is inefficient for market participants to bid at a discount rate that is not the minimum rate in its class.  The inefficiency of bidding at a rate other than the minimum is related to a quantity shortfall rather than an unexploited profit opportunity.  Auction results for weekly offerings of four-week bills and occasional offerings of cash management bills show that market participants frequently bid at inefficient rates.  However, they are more likely to bid at efficient rates than chance would suggest"--Federal Reserve Bank of New York web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 1/13/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.