EconPapers    
Economics at your fingertips  
 

The Cherry-Picking Option in the U.S. Treasury Buyback Auctions

Bing Han, Francis Longstaff and Craig Merrill
Additional contact information
Craig Merrill: Brigham Young U

Working Paper Series from Ohio State University, Charles A. Dice Center for Research in Financial Economics

Abstract: We study an important recent series of buyback auctions conducted by the U.S. Treasury in retiring $67.5 billion of its debt. We find that the Treasury was successful in buying back large amounts of illiquid debt while suffering only a small volatility-related market-impact cost. Although the Treasury had the option to cherry pick from among the bonds offered, we find that the Treasury was actually penalized for being spread too thin by including multiple bonds in a buyback auction. We find evidence that the Treasury may have attempted to minimize its interest expense rather than its buyback costs in these auctions. There is no evidence, however, that the Treasury used its timing option to exploit auction participants.

Date: 2005-09
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.cob.ohio-state.edu/fin/dice/papers/2004/2004-23.pdf
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.cob.ohio-state.edu/fin/dice/papers/2004/2004-23.pdf [301 Moved Permanently]--> https://www.cob.ohio-state.edu/fin/dice/papers/2004/2004-23.pdf [301 Moved Permanently]--> https://fisher.osu.edu/fin/dice/papers/2004/2004-23.pdf)

Related works:
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:ecl:ohidic:2004-23

Access Statistics for this paper

More papers in Working Paper Series from Ohio State University, Charles A. Dice Center for Research in Financial Economics Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2020-10-19
Handle: RePEc:ecl:ohidic:2004-23