Liquidity and the Cost of Funds in the European Treasury Bills Market

Overcrowding Versus Liquidity in the Euro Sovereign Bond Markets

“…Following Biais et al . (), we computed a percentage spread ( s ) between the bond yield ( y ) and the 1‐week Euribor rate ( e ) to control for exogenous changes in the general level of interest rates: s = ( y‐e )/ e…”

“…Biais et al . () focus on market microstructure and macroeconomic variables to analyze the determinants of euro‐denominated Treasury bill yields.…”

“…() and Biais et al . () underline how issuance calendars could affect yield differentials. The importance of the timing of the issuance is also suggested by Newman and Rierson () which focus on corporate bonds and find that large debt issuances temporarily inflate yield spreads of bonds belonging to the same sector and by Keloharju et al .…”

“…While Biais et al . () study the impact of the liquidity of the secondary market on the yields Treasuries must promise on the primary market, our analysis focuses instead on the yield‐liquidity relation on the secondary market.…”

Strategic price discounting and rationing in uniform price auctions

“…Moreover, small bidders demand some quantity if and only if the …nal price is low enough. However, the strategic bidders do not know the small bidders' willingness to pay for one unit of the good 10 . The degree of rationing is chosen by the seller in order to maximize the auction pro…ts subject to small bidders'participation.…”