Abstract
This empirical study analyzes market bid functions observed in French Treasury Bills auctions. We use data from 125 discriminatory auctions of 1995 to determine the factors that affect the shape of the aggregate demand functions. We proceed in two steps. In the first step, we estimate demand curves by logistic functions. In the second step, we determine the variables that explain the fluctuations of the values of the parameters across auctions. Our results offer a forecasting tool for incoming auctions.
| Translated title of the contribution | Empirical study of market demand functions in treasury billauctions |
|---|---|
| Original language | French |
| Pages (from-to) | 403-414 |
| Number of pages | 12 |
| Journal | Revue Economique |
| Volume | 53 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 1 Dec 2002 |
| Externally published | Yes |