Suchergebnisse

Die Schuldenberge der europäischen Staaten haben seit Ausbruch der Finanz- und Weltwirtschaftskrise neue Höchststände erreicht. Zur Finanzierung dieser Schulden mussten die Staaten zahlreiche Neuemissionen von Staatsanleihen durchführen. Mit einem ausstehenden Volumen von rund 7 Billionen Euro, stellt der europäische Staatsanleihenmarkt einen der wichtigsten und größten Kapitalmärkte der Welt dar. In dieser Masterarbeit analysiere ich dabei den Handel auf den beiden Teilmärkten eines Staatsanleihenmarktes, dem Primärmarkt und den Sekundärmarkt. In beiden Märkten kommen unterschiedliche Auktionsverfahren zum Einsatz, welche in der Arbeit genauer untersucht werden. Bei der Analyse liegt dabei ein spezieller Fokus auf die Rolle der Primary Dealers, welche als einzige Marktteilnehmer in beiden Märkten präsent sind. Die Primary Dealers haben das alleinige Recht, in den Primärmarktauktionen des Staates teilzunehmen. Im Gegensatz dazu verpflichten sie sich zu einer aktiven Rolle am Sekundärmarkt. Diese Verpflichtung wird vom Staat auferlegt, der mit dieser Maßnahme für eine hohe Liquidität am Sekundärmarkt sorgen möchte. In der Auktion am Primärmarkt kann gezeigt werden, dass es für die Primary Dealers optimal ist, unter ihrer Zahlungsbereitschaft zu bieten. Das heißt dem Staat entgehen bei der Auktion Einnahmen und die Primary Dealers können Renten einstreichen. Zusätzlicher Wettbewerb minimiert dieses Verhalten, sodass die Staaten an einer möglichst hohen Zahl an Primary Dealers in ihren Staatsanleihenmärkten interessiert sein sollten. Bei der Untersuchung des Sekundärmarktes kann gezeigt, wie es in der Börsenauktion zur Preisbildung für die Staatsanleihe kommt. Auch auf diesem Markt nehmen die Primary Dealers eine wichtige Rolle ein, da sie als Anbieter von Staatsanleihen fungieren. Zum Abschluss der Arbeit wird noch gezeigt, unter welchen Umständen sich einheitliche Preise auf den Staatsanleihenmärkten zweier Länder bilden können. ; The debt levels of European countries have reached new highs since the beginning of the financial and economic crisis. To finance this debt, the states had to perform numerous new issues of government bonds. With an outstanding volume of around 7 trillion Euro, the European government bond market is one of the largest and most important capital markets in the world. In this thesis I analyse the trades taking place in the two submarkets of a government bond market, the primary market and the secondary market. In both markets, different auction methods are used, which are examined in more detail. In analysing this case, I put a special focus on the part of the Primary Dealers, which are present in both markets. The Primary Dealers have the exclusive right to participate in the primary market auctions of the government. In contrast, they commit themselves to an active role in the secondary market. This obligation is imposed by the state, who wants to ensure a high level of liquidity in the secondary market with this measure. In the primary market auction, it can be shown that it is optimal for the Primary Dealers, to bid below their maximum willingness to pay. Therefor the state loses auction revenues and the Primary Dealers can reap rents. More competition reduces this behaviour, so the states should be interested in a high number of Primary Dealers in their government bond markets. In the analysis of the secondary market it is shown, how the prices of government bonds are determined. The Primary Dealers have an important function in this market as well, since they act as suppliers of government bonds. In the last part of the thesis, I show the conditions under which a uniform price can arise in the government bond markets of two countries. ; Thomas Farnleitner ; Abweichender Titel laut Übersetzung der Verfasserin/des Verfassers ; Zsfassungen in engl. und dt. Sprache ; Graz, Univ., Masterarb., 2015 ; (VLID)809456

We analyze the role of different kinds of primary and secondary market interventions for the government's goal to maximize its revenues from public bond issuances. Some of these interventions can be thought of as characteristics of a primary dealer system. After all, we see that a primary dealer system with a restricted number of participants may be useful in case of only restricted competition among sufficiently heterogeneous market makers. We further show that minimum secondary market turnover requirements for primary dealers with respect to bond sales seem to be in general more adequate than the definition of maximum bid-ask-spreads or minimum turnover requirements with respect to bond purchases. Moreover, official price management operations are not able to completely substitute for a system of primary dealers. Finally it should be noted that there is in general no reason for monetary compensations to primary dealers since they already possess some privileges with respect to public bond auction.

Leveraging the fact that in many primary debt issuance markets securities of varying maturities are sold simultaneously, we recover participants' full demand systems by generalizing methods for estimating individual demands from bidding data. The estimated preference parameters allow us to partition primary dealers into two main classes. For the first class, which largely coincides with the largest money market players, we find significant complementarities in their demand for Treasury bills in primary markets, while for the second class, the patterns in their willingness to pay are mixed and time-varying. We present a dealer-client model that captures the interplay between the primary and secondary market to provide a rationale for our findings. We argue that the complementarity likely arises from the large dealers "making markets," and hence requiring to hold inventory of all securities. Our results are useful both for minimizing the cost of financing of government debt and for optimally implementing financial regulation that is based upon partitioning financial institutions according to their downstream business strategies.

We analyze the role of different kinds of primary and secondary market interventions for the government's goal to maximize its revenues from public bond issuances. Some of these interventions can be thought of as characteristics of a "primary dealer system". After all, we see that a primary dealer system with a restricted number of participants may be useful in case of only restricted competition among sufficiently heterogeneous market makers. We further show that minimum secondary market turnover requirements for primary dealers with respect to bond sales seem to be in general more adequate than the definition of maximum bid-ask-spreads or minimum turnover requirements with respect to bond purchases. Moreover, official price management operations are not able to completely substitute for a system of primary dealers. Finally it should be noted that there is in general no reason for monetary compensations to primary dealers since they already possess some privileges with respect to public bond auction.

We analyze the role of different kinds of primary and secondary market interventions for the government's goal to maximize its revenues from public bond issuances. Some of these interventions can be thought of as characteristics of a "primary dealer system". After all, we see that a primary dealer system with a restricted number of participants may be useful in case of only restricted competition among sufficiently heterogeneous market makers. We further show that minimum secondary market turnover requirements for primary dealers with respect to bond sales seem to be in general more adequate than the definition of maximum bid-ask-spreads or minimum turnover requirements with respect to bond purchases. Moreover, official price management operations are not able to completely substitute for a system of primary dealers. Finally it should be noted that there is in general no reason for monetary compensations to primary dealers since they already possess some privileges with respect to public bond auction.

Governments need money for good functioning. Following the COVID – 19 pandemic and the energy crisis, finding sources to cover the budget deficits has become a real challenge. One of the ways of accumulating funds is by issuing government securities through auctions. Thus, countries are continuously concerned about developing the domestic debt market to decrease the dependence on external creditors. The primary dealer system is the most widespread form of cooperation between the issuer and investors. The main goal of the research is to show the influence of the primary dealer system on the development of the government securities market. In order to meet the requirements of the debt manager's office they have to fulfil certain obligations. Despite the quantitative obligations of the primary dealers, the analysis focuses also on their qualitative aspects. Also, the paper presents a practical experience for selected countries regarding the evaluation of the activity of the primary dealers. The results of this research show a dependence between the development of the domestic government securities market and the methodology for evaluating the activity of the primary dealers.

AbstractThis study examines the impact of the failures of government securities dealers and the eventual passage of the Government Securities Act (GSA) of 1986 on the stock prices of primary dealers and on repo rates. Results provide evidence that several failures elicited a negative stock market reaction although the results vary based on the type of dealer. The study provides evidence that average spreads in the repo market were significantly affected by several events although the direction of the change in spread varied. Additionally, there is evidence that the events surrounding the GSA's passage had a positive impact on bank dealers and elicited a mixed reaction in the repo market.