This article provides the causes and symptoms of special repo rates in a competitive market
for repurchase agreements. A repo rate is, in effect, an interest rate on loans collateralized …

Traditional models of portfolio choice assume that investors can continuously trade unlimited
amounts of securities. In reality, investors face liquidity constraints. I analyze a model where …

We derive equilibrium bidding strategies in divisible good auctions for asymmetrically
informed risk neutral and risk averse bidders when there is random noncompetitive demand …

Manipulation has been a vexing subject in commodity futures markets from the mid-19th
century. The economics literature has identified several kinds of manipulation, including …

We use when-issued transactions data to assess the Treasury's current experiment with
uniform auctions. When-issued volume is higher under uniform as compared to …

The market for Treasury securities attracted considerable attention recently, after alleged
infringements by Salomon Brothers. Several questions have been raised about the best way …

Manipulation—the exercise of market power in a futures market—is a felony, but recent court
and regulatory decisions have made conviction of a manipulator problematic. Instead …

This paper shows that all traditional forms of the expectations hypothesis can be consistent
with the absence of arbitrage if markets are incomplete. A key implication is that the validity …

This paper examines intra-day trading data from the inter-dealer broker market for US
Treasury securities and measures the degree of price pressure in the off-the-run Treasury …

We empirically examine the link between the when-issued market and the auction for
Treasury bills. We find that on average it is cheaper to buy Treasury bills in the auction than …