A Descriptive analysis of the finnish treasury bond market 1991-1999

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Title: A Descriptive analysis of the finnish treasury bond market 1991-1999
Author: Keloharju, Matti ; Malkamäki, Markku ; Nyborg, Kjell G. ; Rydqvist, Kristian
Organization: Suomen Pankki
Series: Bank of Finland. Discussion papers
Series number: 16/2002
Year of publication: 2002
Publication date: 9.7.2002
Pages: 26 s.
Keywords: joukkovelkakirjat; arvopaperimarkkinat; Suomi; obligaatiot; jälkimarkkinat
JEL: D44; G12; G20
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. Key words: treasury bond auctions, secondary market JEL classification numbers: D44, G12, G20
Rights: https://helda.helsinki.fi/bof/copyright

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