An empirical study of the Mexican Treasury Bill auction

Article Abstract:

The Mexican Treasury bill (T-bill) auction of the late 1980s took place in an environment of uncertainty, and provided data to analyze auction theory. Revenues from T-bill auctions appear to rise with rising information dispersion, while bigger bidders appear to cooperate and have greater access to information than smaller bidders, earning bigger profits and bidding more warily at auctions where smaller bidders fail to make a profit. Overall, the profit of smaller bidders appears to be nil, though there are indications that when smaller bidders are introduced in an auction, they can have an impact on the profitability of bigger bidders.

Economic aspects, Marketing, Mexico, Treasury securities

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Interest rate swaps: an empirical investigation

Article Abstract:

Empirical research on interest rate swaps, focusing on two dealers with credit ratings of AAA and A, found that their credit reputation affected the spreads between their bid and offer rates. This is reflected in the setting up of AAA rated subsidiaries by investment banks. The study also indicates that there are obstacles to assessing swap pricing theory, such as the difficulty in calculating counterparties' par bonds yields, and variations in the credit rating of counterparties. The research also points to illiquidity in the interbank market, with quotes changed infrequently, and wide spreads in rates for bids and offers.

Finance, Credit ratings, Interest rate swaps

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How big is the premium for currency risk?

Article Abstract:

Components of the premiums for risk currency vary greatly over time and across markets. In the case of equity markets, the average currency risk premiums constitute only a small part of the average total premium. For the period covering 1980 to 1985, negative currency risk premium was noted for most markets. Negative total risk premium was also observed during the same period.

Economics, Research and Development in the Social Sciences and Humanities, Securities Brokerage, Securities Trading, Research, Securities, Securities industry, Capital assets, Foreign exchange market

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