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You searched for subject:(Treasury auction). Showing records 1 – 3 of 3 total matches.

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Texas A&M University

1. Kang, Boo-Sung. Empirical study on the Korean treasury auction focusing on the revenue comparison in multiple versus single price auction.

Degree: PhD, Economics, 2006, Texas A&M University

This dissertation pursues to find an answer empirically to the question of the revenue ranking between the multiple price auction and the single price auction. I also attempt to get empirical clues in terms of the efficiency ranking between the two. Under the assumptions of symmetric bidders and private independent value (PIV), I derive the optimal bidding conditions for both auction formats. Following the structural model estimation approach, I estimate the underlying distribution of market clearing price using the nonparametric resampling strategy and recover the bidders’ unknown true valuations corresponding to each observed bid point. With these estimated valuations of the bidders, I calculate what the upper bound of the revenue would have been under the Vickery auction to perform the counterfactual revenue comparison with the actual revenue. I find that, ex-post, the multiple price auction yields more revenue to the Korean Treasury than the alternative. I also investigate the efficiency ranking by comparing the number of bids switched and the amount of surplus change which would occur when the bidders are assumed to report their true valuations as their bids. I find that the multiple price auction is also superior to the alternative in efficiency which supports the current theoretical prediction. Finally, I investigate the robustness of my model and empirical results by relaxing the previous assumptions. I, first, extend the model and estimation to the case of asymmetric bidders where the bidders are divided into two groups based on their size. It shows that the model and estimation framework are still valid and that the empirical findings are very similar to the symmetric case. I also test for the presence of common value (CV) component in the bidders’ valuation function. I propose the simple regression model adopting the idea of the policy experimental approach. I obtain quite an inconclusive result in general but find some evidence supporting PIV for relatively higher bid prices while supporting CV for lower bid prices. Advisors/Committee Members: Puller, Steven (advisor), Gawande, Kishore (committee member), Li, Qi (committee member), Neilson, William S. (committee member).

Subjects/Keywords: Treasury auction; multiple price auction; single price auction; structural model estimation; revenue comparison; private independent value

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Kang, B. (2006). Empirical study on the Korean treasury auction focusing on the revenue comparison in multiple versus single price auction. (Doctoral Dissertation). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/3051

Chicago Manual of Style (16th Edition):

Kang, Boo-Sung. “Empirical study on the Korean treasury auction focusing on the revenue comparison in multiple versus single price auction.” 2006. Doctoral Dissertation, Texas A&M University. Accessed October 24, 2020. http://hdl.handle.net/1969.1/3051.

MLA Handbook (7th Edition):

Kang, Boo-Sung. “Empirical study on the Korean treasury auction focusing on the revenue comparison in multiple versus single price auction.” 2006. Web. 24 Oct 2020.

Vancouver:

Kang B. Empirical study on the Korean treasury auction focusing on the revenue comparison in multiple versus single price auction. [Internet] [Doctoral dissertation]. Texas A&M University; 2006. [cited 2020 Oct 24]. Available from: http://hdl.handle.net/1969.1/3051.

Council of Science Editors:

Kang B. Empirical study on the Korean treasury auction focusing on the revenue comparison in multiple versus single price auction. [Doctoral Dissertation]. Texas A&M University; 2006. Available from: http://hdl.handle.net/1969.1/3051


University of Victoria

2. Mehlenbacher, Alan. Multiagent system simulations of sealed-bid, English, and treasury auctions.

Degree: Dept. of Economics, 2007, University of Victoria

I have developed a multiagent system platform that provides a valuable complement to the alternative research methods. The platform facilitates the development of heterogeneous agents in complex environments. The first application of the multiagent system is to the study of sealed-bid auctions with two-dimensional value signals from pure private to pure common value. I find that several auction outcomes are significantly nonlinear across the two-dimensional value signals. As the common value percent increases, profit, revenue, and efficiency all decrease monotonically, but they decrease in different ways. Finally, I find that forcing revelation by the auction winner of the true common value may have beneficial revenue effects when the common-value percent is high and there is a high degree of uncertainty about the common value. The second application of the multiagent system is to the study of English auctions with two-dimensional value signals using agents that learn a signal-averaging factor. I find that signal averaging increases nonlinearly as the common value percent increases, decreases with the number of bidders, and decreases at high common value percents when the common value signal is more uncertain. Using signal averaging, agents increase their profit when the value is more uncertain. The most obvious effect of signal averaging is on reducing the percentage of auctions won by bidders with the highest common value signal. The third application of the multiagent system is to the study of the optimal payment rule in Treasury auctions using Canadian rules. The model encompasses the when-issued, auction, and secondary markets, as well as constraints for primary dealers. I find that the Spanish payment rule is revenue inferior to the Discriminatory payment rule across all market price spreads, but the Average rule is revenue superior. For most market-price spreads, Uniform payment results in less revenue than Discriminatory, but there are many cases in which Vickrey payment produces more revenue. Advisors/Committee Members: Scoones, David (supervisor).

Subjects/Keywords: agent-based computational economics; impulse balance learning; multi-dimensional value signals; sealed-bid auctions; English auctions; signal averaging; treasury auctions; auction context; UVic Subject Index::Humanities and Social Sciences::Economics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Mehlenbacher, A. (2007). Multiagent system simulations of sealed-bid, English, and treasury auctions. (Thesis). University of Victoria. Retrieved from http://hdl.handle.net/1828/255

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Mehlenbacher, Alan. “Multiagent system simulations of sealed-bid, English, and treasury auctions.” 2007. Thesis, University of Victoria. Accessed October 24, 2020. http://hdl.handle.net/1828/255.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Mehlenbacher, Alan. “Multiagent system simulations of sealed-bid, English, and treasury auctions.” 2007. Web. 24 Oct 2020.

Vancouver:

Mehlenbacher A. Multiagent system simulations of sealed-bid, English, and treasury auctions. [Internet] [Thesis]. University of Victoria; 2007. [cited 2020 Oct 24]. Available from: http://hdl.handle.net/1828/255.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Mehlenbacher A. Multiagent system simulations of sealed-bid, English, and treasury auctions. [Thesis]. University of Victoria; 2007. Available from: http://hdl.handle.net/1828/255

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Illinois – Urbana-Champaign

3. Jacobs, Thomas A. Three Essays in Empirical Asset Pricing.

Degree: PhD, 0075, 2010, University of Illinois – Urbana-Champaign

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size. Advisors/Committee Members: Pennacchi, George G. (advisor), Pennacchi, George G. (Committee Chair), Kahn, Charles M. (committee member), Pearson, Neil D. (committee member), Johnson, Timothy C. (committee member).

Subjects/Keywords: Too Big To Fail; Crisis; Moral hazard; Spillover; Systemic Risk; Systemically Important Firm; Bank Run; Subprime; Wholesale Funding; Securitization; Government Support; Government Agents; Federal Reserve; Federal Reserve Intervention; Discount Window; Open Market Operations (OMO); Term Auction Facility (TAF); Primary Dealer Credit Facility (PDCF); Term Securities Lending Facility (TSLF); Guarantee; Deterministic Guarantee; Stochastic Guarantee; Deposit Insurance; Federal Deposit Insurance Corporation (FDIC); Treasury Lending Line; Government Sponsored Enterprises (GSE); Fannie Mae; Freddie Mac; Conservatorship; Government Agents; Continental Illinois National Bank and Trust; Continental Illinois; Bear Stearns Failure; Bear Stearns Rescue; Purchase of Bear Stearns; Lehman Bankruptcy; American International Group (AIG); Derivative Exposure; Purchase of Merrill Lynch; Merrill Lynch; IKB Industrie Deutschebank; IKB; Northern Rock; Bank Run; Purchase of Countrywide; Countrywide; Bank of America; Citigroup; JP Morgan Chase; Big Three Banks; Big Four Banks; Failure of IndyMac Bank; IndyMac; Wachovia; Wells Fargo; Failure of Washington Mutual; Washington Mutual (WAMU); Monoline Insurers; Monoline Insurer Downgrade; Municipal Bond Insurance Association (MBIA); American Municipal Bond Assurance Corporation (AMBAC); Event Study; Merton Model; Model of Debt Return; Model of Equity Return; Cumulative Abnormal Return; Credit Default Swaps (CDS); Measuring CDS Returns; CDX Index; Monte Carlo Simulation; Troubled Asset Relief Program (TARP); Morgan Stanley; Goldman Sachs; Arbitrage; Limits to Arbitrage; U.S. Treasury Markets; Inflation Markets; Inflation Derivatives; Inflation Indexed Swaps; Treasury Inflation Protected Securities (TIPS); Break Even Inflation (BEI); Inflation Indexed Swap Basis; Inflation Indexed Swap Basis (IIS Basis); Liquidity; On-the-run; Off-the-run; Consumer Price Index (CPI); Bureau of Labor Statistics (BLS); Blue Chip Economic Indicators; Survey of Professional Forecasters (SPF); Bid Ask Spread; Event Study Methodology; Debt Based Event Study; CDS Based Event Study; Market Model; Adjusted Spread; Monte Carlo Experiments; Moody's BAA Seasoned Bond Index; LIBOR Swap Rate; Size and Power Tests; Investment Grade Firms; Non-Investment Grade Firms; Performance Measure

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Jacobs, T. A. (2010). Three Essays in Empirical Asset Pricing. (Doctoral Dissertation). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/16903

Chicago Manual of Style (16th Edition):

Jacobs, Thomas A. “Three Essays in Empirical Asset Pricing.” 2010. Doctoral Dissertation, University of Illinois – Urbana-Champaign. Accessed October 24, 2020. http://hdl.handle.net/2142/16903.

MLA Handbook (7th Edition):

Jacobs, Thomas A. “Three Essays in Empirical Asset Pricing.” 2010. Web. 24 Oct 2020.

Vancouver:

Jacobs TA. Three Essays in Empirical Asset Pricing. [Internet] [Doctoral dissertation]. University of Illinois – Urbana-Champaign; 2010. [cited 2020 Oct 24]. Available from: http://hdl.handle.net/2142/16903.

Council of Science Editors:

Jacobs TA. Three Essays in Empirical Asset Pricing. [Doctoral Dissertation]. University of Illinois – Urbana-Champaign; 2010. Available from: http://hdl.handle.net/2142/16903

.