étude empirique de la demande dans les enchères de bons du trésor

Raphaële Préget; Patrick Waelbroeck

doi:10.2307/3502972

étude empirique de la demande dans les enchères de bons du trésor

Raphaële Préget
, Patrick Waelbroeck

ENSAE
ECARES et FNRS

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

Titre traduit de la contribution	Empirical study of market demand functions in treasury billauctions
langue originale	Français
Pages (de - à)	403-414
Nombre de pages	12
journal	Revue Economique
Volume	53
Numéro de publication	3
Les DOIs	https://doi.org/10.2307/3502972
état	Publié - 1 déc. 2002
Modification externe	Oui

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10.2307/3502972

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title = "{\'e}tude empirique de la demande dans les ench{\`e}res de bons du tr{\'e}sor",

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.",

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N2 - 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.

AB - 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.

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DO - 10.2307/3502972

M3 - Article

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étude empirique de la demande dans les enchères de bons du trésor

Résumé

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