The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds  

Oleh:

Han, Bing ; Longstaff, Francis A. ; Merrill, Craig

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 6 (Dec. 2007), page 2673-2694.
Topik: Auction; Illiquid Bonds
Fulltext: p 2673.pdf (121.94KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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We study an important recent series of buyback auctions conducted by the U.S. Treasury in retiring $67.5 billion of its liquid off-the-run debt. The treasury was sucessful in buying back large amounts of illiuid debt while suffering only a small market-impact cost. The treasury included the most-illiquid bonds more frequently in the auctions, but tended to buy back the least-illiquid of these bonds. Although the Treasury had the option to cherry pick from among the bonds aoffered, we find that the Treasury was actually penalized for being spread too thinly in the buybacks

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