ISRAELI TREASURY AUCTION REFORM

Orly Sade (), Roy Stein () and Zvi Wiener
Additional contact information
Orly Sade: Hebrew University of Jerusalem

Israel Economic Review, 2018, vol. 16, issue 1, 41-61

Abstract: This study examines the results of the inclusion of primary dealers in trading in government bonds under the 2006 government bond reform. Using a unique database, we compared the results of Treasury Bond auctions before, during and after implementation of the reform in order to estimate the cost of raising government debt. In order to analyze the effect of the reform on liquidity in the secondary market, we used—in addition to the full demand and winnings database of each of the participants in each auction—an intra-day database. The structure of the data enabled us to test the result of the reform on the cost of government financing by means of a number of calculations for the auction premium. When we isolated the effects of the relevant market variables, we found that after the reform, the auction premium declined significantly, but the development of prices in the secondary market shortly after the auction also changed significantly. We also found that after the reform, the auction premium was negatively affected by the uncertainty and volatility-related variables in the market, which did not affect the auction premium before the reform.

Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://boiwebrepec.azurefd.net/RePEc/boi/isrerv/IsER_16_2018_1_041-061.pdf (application/pdf)

Related works:
Working Paper: Israeli Treasury Auction Reform (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boi:isrerv:v:16:y:2018:i:1:p:41-61

Access Statistics for this article

More articles in Israel Economic Review from Bank of Israel Contact information at EDIRC.
Bibliographic data for series maintained by Yossi Yakhin ().