国债拍卖方法与定价不足：冰岛的证据

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-08-07 DOI:10.1111/jfir.12428

Antoine Noel, Mark Wu

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引用次数: 0

摘要

冰岛中央银行于 2009 年用统一价格法取代了国库券拍卖中使用的歧视性方法。我们以 2000 年至 2018 年组织的 516 次拍卖为样本，分析了这一制度改革前后的定价偏低情况。在控制了拍卖特征和金融市场条件后，我们发现统一价格法下的定价偏低。然而，定价不足的下降并没有转化为主权发行成本的降低。我们在样本后期观察到定价过高的现象，这与支付给一级交易商的佣金的重要性日益增加不谋而合。我们的研究结果为政府、监管机构和市场参与者提供了实际意义。

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Treasury auction method and underpricing: Evidence from Iceland

The Central Bank of Iceland replaced the discriminatory method used for auctioning treasury securities with the uniform‐price method in 2009. We analyze underpricing before and after this institutional reform with a sample of 516 auctions organized from 2000 to 2018. After controlling for auction characteristics and financial market conditions, we find that underpricing is lower under the uniform‐price method. However, this underpricing decline does not translate into a reduction in sovereign issuance cost. The emergence of overpricing, observed in the late part of our sample, coincides with the growing importance of commissions paid to primary dealers. Our results provide practical implications for governments, regulators, and market participants.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.