The empirical analysis of auction data has become a thriving field of research over the past
thirty years. Relying on sophisticated models and advanced econometric methods, it …

Abstract Many of the Federal Reserve's (the Fed's) monetary policy operations involve
trading with primary dealers. We find that, for agency MBS, dealers charge 2.5 cents (per …

We examine the economic mechanisms that limited arbitrage between the cash and forward
markets of agency MBS, and whether asset purchases of the Federal Reserve (Fed) …

Before an auction, public debt managers (DMs) announce the number of bonds to be sold to
primary dealers (PDs); however, the empirical evidence suggests that when “beat-the …

This paper exploits a large-scale auction experiment conducted by two Chinese government
treasury security issuers—the Chinese Development Bank and the Export-Import Bank—to …

What is driving dealers' bidding behavior in the Bank of England's QE reverse auctions? To
tackle this question, we estimate dealers' valuations of securities offered to the Bank of …

We examine the economic mechanisms that limited arbitrage between the cash and forward
markets of agency MBS, and whether asset purchases of the Federal Reserve (Fed) …

We study dealers' bidding behavior in the Bank of England's quantitative easing (QE)
reverse auctions. Using a novel data set on both accepted and rejected offers together with …

When market disruptions started in March 2020, dealers maintained the usual liquidity
provision in the agency MBS market by taking cash inventory and hedging inventory risk …

This thesis consists of three essays on the discussion about superiority among different
government security issuance mechanisms: book-building, discriminatory auctions, and …