Treasury auction results as interest rate predictors:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York u.a.
Garland
1994
|
| Series: | The financial sector of the American economy
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVII, 130 S. |
| ISBN: | 0815316828 |
Staff View
MARC
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Record in the Search Index
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|---|---|
| adam_text | CONTENTS
FOREWORD ix
PREFACE xi
ACKNOWLEDGMENTS xiii
ILLUSTRATIONS xv
INTRODUCTION 1
HISTORY AND BACKGROUND 13
Portfolio Management Techniques 13
Classical Yield Curve Theories 15
Yield Curve Theory Other Factors 17
Forecasting An Overview 20
Treasury Auction Procedures An Overview 22
METHODOLOGY 29
Population and Sampling Techniques 29
Presentation of Data 31
Data Collection Methods 40
Identification and Interpretation: Key Variables 40
Research Design and Statistical Approach 43
FINDINGS 45
Descriptive Statistics Independent Variables 45
Descriptive Statistics Dependent Variables 50
Regression Results Five Year Auctions 55
ufi
viii Treasury Auction Results as Interest Rate Predictors
FINDINGS (Cont.)
Regression Results Thirty Year Auctions 58
Regression Results Extreme Observations 60
IMPLICATIONS 65
Implications for Fixed Income Traders
and Portfolio Managers 65
Efficient Market Implications 68
Primary Dealer Collusion 69
Threats to the Validity of the Study 70
Future Research 71
RECENT EVENTS 73
Salomon Brothers Bidding Scandal 73
Potential Primary Dealer Collusion 76
Recent Experiments in
U.S. Treasury Auction Techniques 78
Other Major Treasury Market
and Auction Reforms 82
Conclusion 85
BIBLIOGRAPHY 87
APPENDICES
A. Five Year Auction Results: All Data 101
B. Thirty Year Auction Results: All Data 109
C. Five Year Auction Results: Extreme Obs 117
D. Thirty Year Auction Results: Extreme Obs 121
INDEX 129
|
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| geographic | USA |
| geographic_facet | USA |
| id | DE-604.BV010215364 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T17:48:36Z |
| institution | BVB |
| isbn | 0815316828 |
| language | English |
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| physical | XVII, 130 S. |
| publishDate | 1994 |
| publishDateSearch | 1994 |
| publishDateSort | 1994 |
| publisher | Garland |
| record_format | marc |
| series2 | The financial sector of the American economy |
| spelling | Larson, James A. Verfasser aut Treasury auction results as interest rate predictors James Alan Larson New York u.a. Garland 1994 XVII, 130 S. txt rdacontent n rdamedia nc rdacarrier The financial sector of the American economy Interest (Finance) United States Valores gubernamentales - EE.UU Government securities United States Interest rates United States Forecasting USA HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006788341&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Larson, James A. Treasury auction results as interest rate predictors Interest (Finance) United States Valores gubernamentales - EE.UU Government securities United States Interest rates United States Forecasting |
| title | Treasury auction results as interest rate predictors |
| title_auth | Treasury auction results as interest rate predictors |
| title_exact_search | Treasury auction results as interest rate predictors |
| title_full | Treasury auction results as interest rate predictors James Alan Larson |
| title_fullStr | Treasury auction results as interest rate predictors James Alan Larson |
| title_full_unstemmed | Treasury auction results as interest rate predictors James Alan Larson |
| title_short | Treasury auction results as interest rate predictors |
| title_sort | treasury auction results as interest rate predictors |
| topic | Interest (Finance) United States Valores gubernamentales - EE.UU Government securities United States Interest rates United States Forecasting |
| topic_facet | Interest (Finance) United States Valores gubernamentales - EE.UU Government securities United States Interest rates United States Forecasting USA |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006788341&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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