The Experts below are selected from a list of 309 Experts worldwide ranked by ideXlab platform
Roberto Blanco - One of the best experts on this subject based on the ideXlab platform.
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Estimating liquidity premia in the Spanish Government Securities market
The European Journal of Finance, 2004Co-Authors: Francisco Alonso, Roberto Blanco, Ana Del Río, Alicia SanchisAbstract:This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish Government Securities market. First, a classification of bonds into four different categories based on their degree of liquidity is proposed. Second, liquidity premia are estimated introducing liquidity parameters in the estimation of the zero-coupon yield curve. Results suggest the existence of a liquidity premium for post-benchmark bonds (both strippable and non-strippable). The size of this premium is relatively small. In the case of pre-benchmark bonds, the lack of liquidity does not seem to be priced. It is also shown that these pricing discrepancies are robust to the impact of taxes on bonds.
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euro area Government Securities markets recent developments and implications for market functioning
BIS Papers chapters, 2002Co-Authors: Roberto BlancoAbstract:This paper analyses recent key developments in euro-area Government bond markets and their main implications for central banks and for market functioning. The introduction of the euro is found to have significantly affected the relative pricing of Securities. The spreads over German bonds of previously high-yield debt have narrowed significantly whereas the spreads of all other euro-area sovereign debt have widened following the introduction of the euro. Market microstructure factors, such as relative market liquidity and the cheapest-to-deliver status of bonds, are also found to play a part in determining relative prices in addition to differences in credit risk. Finally, the evidence suggests that the reduction in the relative supply of Government bonds has hitherto had a limited effect in the euro area, in contrast to the evidence in the US market. (This abstract was borrowed from another version of this item.)
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Estimating liquidity premia in the Spanish Government Securities market
2001Co-Authors: Francisco Alonso, Roberto Blanco, Ana Del Río, Alicia SanchisAbstract:This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish Government Securities market. First, a classification of bonds into four different categories based on their degree of liquidity is proposed. Second, liquidity premia are estimated introducing liquidity parameters in the estimation of the zero-coupon yield curve. Results suggest the existence of a liquidity premium for post-benchmark bonds (both strippable and non-strippable). The size of this premium is relatively small. In the case of pre-benchmark bonds, the lack of liquidity does not seem to be priced. It is also shown that these pricing discrepancies are robust to the impact of taxes on bonds. (This abstract was borrowed from another version of this item.)
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the euro area Government Securities markets recent developments and implications for market functioning
2001Co-Authors: Roberto BlancoAbstract:This paper analyses recent key developments in euro-area Government bond markets and their main implications for central banks and for market functioning. The introduction of the euro is found to have significantly affected the relative pricing of Securities. The spreads over German bonds of previously high-yield debt have narrowed significantly whereas the spreads of all other euro-area sovereign debt have widened following the introduction of the euro. Market microstructure factors, such as relative market liquidity and the cheapest-to-deliver status of bonds, are also found to play a part in determining relative prices in addition to differences in credit risk. Finally, the evidence suggests that the reduction in the relative supply of Government bonds has hitherto had a limited effect in the euro area, in contrast to the evidence in the US market.
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Estimating Liquidity Premia in the Spanish Government Securities Market
2000Co-Authors: Francisco Alonso, Roberto Blanco, Ana Del Río, Alicia SanchisAbstract:This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish Government Securities market. First, we propose a classification of bonds into four different categories based on their degree of liquidity. Second, we estimate liquidity premia, including liquidity parameters in the estimation of the zero-coupon yield curve. The results suggest the existence of a liquidity premium for post-benchmark bonds (both strippable and non-strippable).
Alicia Sanchis - One of the best experts on this subject based on the ideXlab platform.
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Estimating liquidity premia in the Spanish Government Securities market
The European Journal of Finance, 2004Co-Authors: Francisco Alonso, Roberto Blanco, Ana Del Río, Alicia SanchisAbstract:This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish Government Securities market. First, a classification of bonds into four different categories based on their degree of liquidity is proposed. Second, liquidity premia are estimated introducing liquidity parameters in the estimation of the zero-coupon yield curve. Results suggest the existence of a liquidity premium for post-benchmark bonds (both strippable and non-strippable). The size of this premium is relatively small. In the case of pre-benchmark bonds, the lack of liquidity does not seem to be priced. It is also shown that these pricing discrepancies are robust to the impact of taxes on bonds.
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Estimating liquidity premia in the Spanish Government Securities market
2001Co-Authors: Francisco Alonso, Roberto Blanco, Ana Del Río, Alicia SanchisAbstract:This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish Government Securities market. First, a classification of bonds into four different categories based on their degree of liquidity is proposed. Second, liquidity premia are estimated introducing liquidity parameters in the estimation of the zero-coupon yield curve. Results suggest the existence of a liquidity premium for post-benchmark bonds (both strippable and non-strippable). The size of this premium is relatively small. In the case of pre-benchmark bonds, the lack of liquidity does not seem to be priced. It is also shown that these pricing discrepancies are robust to the impact of taxes on bonds. (This abstract was borrowed from another version of this item.)
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Estimating Liquidity Premia in the Spanish Government Securities Market
2000Co-Authors: Francisco Alonso, Roberto Blanco, Ana Del Río, Alicia SanchisAbstract:This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish Government Securities market. First, we propose a classification of bonds into four different categories based on their degree of liquidity. Second, we estimate liquidity premia, including liquidity parameters in the estimation of the zero-coupon yield curve. The results suggest the existence of a liquidity premium for post-benchmark bonds (both strippable and non-strippable).
Xavier Mugisha - One of the best experts on this subject based on the ideXlab platform.
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Determinants of Survival Time of Government Securities Held by Banks in Uganda
International Journal of Sciences: Basic and Applied Research, 2015Co-Authors: Kenneth Alpha Egesa, Bruno Ocaya, Leonard K. Atuhaire, Yeko Mwanga, Tom Nyanzi Makumbi, Xavier MugishaAbstract:This study used survival analysis to establish the determinants of the hazard for bank liquidation of Government Securities in order to identify possible measures to limit the occurrence of liquidation. The findings showed that increases in capital lead to declines in the rediscounting hazard and increases in the liquidation hazard of using Securities as collateral for borrowing from the Central Bank. Both primary dealership and the spread increased the hazard for rediscounting Securities and reduced the hazard for liquidating Securities through their use as collateral. Measures to minimize liquidity shortages in the interbank market and development of the secondary market are recommended for the reduction of liquidation of issued Securities.
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Determinants of Investment in Government Securities by Banks in Uganda
International Journal of Economics Finance and Management Sciences, 2015Co-Authors: Kenneth Alpha Egesa, Bruno Ocaya, Leonard K. Atuhaire, Yeko Mwanga, Tom Nyanzi Makumbi, Xavier MugishaAbstract:This study analyzed the determinants of investments in Securities by banks using the generalized method of moments regression technique. The results showed significant effects of continuous partial adjustments in the Government Securities held, capitalization, loan performance and bank size. To ensure continued demand for Government Securities, regulatory measures aimed at safeguarding capital adequacy and promoting competition in the banking sector are recommended.
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Determinants of Liquidation of Government Securities Held by Banks in Uganda
International Journal of Economics Finance and Management Sciences, 2015Co-Authors: Kenneth Alpha Egesa, Bruno Ocaya, Leonard K. Atuhaire, Yeko Mwanga, Tom Nyanzi Makumbi, Xavier MugishaAbstract:This study analyzed the determinants of bank liquidation of Government Securities using panel logistic regression. The analysis showed that the liquidation of Government Securities by banks was motivated by reserve needs although some evidence of reluctance to borrow from the Central Bank was also noted. The main policy implications of the study include the need to minimize liquidity shortages in the interbank market and development of the secondary market as measures that can minimize liquidation of Securities.
Paul Pezanischristou - One of the best experts on this subject based on the ideXlab platform.
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auctions for Government Securities a laboratory comparison of uniform discriminatory and spanish designs
Journal of Economic Behavior and Organization, 2006Co-Authors: Klaus Abbink, Jordi Brandts, Paul PezanischristouAbstract:Abstract The Bank of Spain uses a unique auction format to sell Government bonds that can be seen as a hybrid of a uniform and a discriminatory auction. For winning bids above the average winning bid, buyers are charged the average winning bid; otherwise they pay their respective bids. We use experiments to compare this auction format to the discriminatory format used in most other countries and to the uniform format. Our design is based on a common value model with multi-unit supply and 2-unit demand. The Spanish and the uniform auctions raise significantly higher revenue than the discriminatory auction.
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auctions for Government Securities a laboratory comparison of uniform discriminatory and spanish designs
2002Co-Authors: Klaus Abbink, Jordi Brandts, Paul PezanischristouAbstract:The Bank of Spain uses a unique auction format to sell Government bonds, which can be seen as a hybrid of a uniform and a discriminatory auction. For winning bids above the average winning bid, buyers are charged the average winning bid, otherwise they pay their respective bids. We report on an experiment that compares this auction format to the discriminatory format, used in most other countries, and to the uniform format. Our design is based on a common value model with multi-unit supply and two-unit demand. The results show significantly higher revenue with the Spanish and the uniform formats than with the discriminatory one, while volatility of prices over time is significantly lower in the discriminatory format than in the Spanish and uniform cases. Actual price dispersion is significantly larger in the discriminatory than in the Spanish. Our data also exhibit the use of bid-spreading strategies in all three designs.
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the spanish auction for Government Securities a laboratory analysis
2001Co-Authors: Klaus Abbink, Jordi Brandts, Paul PezanischristouAbstract:Updated - please see paper 551.02 in this series. The Bank of Spain uses a unique auction format to sell Government bonds, which can be seen as a hybrid of a uniform and a discriminatory auction. For winning bids above the average winning bid, buyers are charged the average winning bid, otherwise they pay their respective bids. We report an experiment that compares this auc-tion format to the discriminatory format used in most other countries. We use a common value model with multi-unit supply and two-unit demand. The results show significantly higher revenue with the Spanish format, while volatility of prices over time is lower with the discriminatory format. Our data also exhibit the use of bid-spreading strategies.
Francisco Alonso - One of the best experts on this subject based on the ideXlab platform.
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Estimating liquidity premia in the Spanish Government Securities market
The European Journal of Finance, 2004Co-Authors: Francisco Alonso, Roberto Blanco, Ana Del Río, Alicia SanchisAbstract:This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish Government Securities market. First, a classification of bonds into four different categories based on their degree of liquidity is proposed. Second, liquidity premia are estimated introducing liquidity parameters in the estimation of the zero-coupon yield curve. Results suggest the existence of a liquidity premium for post-benchmark bonds (both strippable and non-strippable). The size of this premium is relatively small. In the case of pre-benchmark bonds, the lack of liquidity does not seem to be priced. It is also shown that these pricing discrepancies are robust to the impact of taxes on bonds.
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Estimating liquidity premia in the Spanish Government Securities market
2001Co-Authors: Francisco Alonso, Roberto Blanco, Ana Del Río, Alicia SanchisAbstract:This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish Government Securities market. First, a classification of bonds into four different categories based on their degree of liquidity is proposed. Second, liquidity premia are estimated introducing liquidity parameters in the estimation of the zero-coupon yield curve. Results suggest the existence of a liquidity premium for post-benchmark bonds (both strippable and non-strippable). The size of this premium is relatively small. In the case of pre-benchmark bonds, the lack of liquidity does not seem to be priced. It is also shown that these pricing discrepancies are robust to the impact of taxes on bonds. (This abstract was borrowed from another version of this item.)
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Estimating Liquidity Premia in the Spanish Government Securities Market
2000Co-Authors: Francisco Alonso, Roberto Blanco, Ana Del Río, Alicia SanchisAbstract:This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish Government Securities market. First, we propose a classification of bonds into four different categories based on their degree of liquidity. Second, we estimate liquidity premia, including liquidity parameters in the estimation of the zero-coupon yield curve. The results suggest the existence of a liquidity premium for post-benchmark bonds (both strippable and non-strippable).
