The behaviour of bidders in quantitative-easing auctions of sovereign bonds in Japan: Determinants of the popularity of the 9 to 10-year maturity segment

Ausubel, 2002, Ascending auctions with package bidding, The B E Journal of Theoretical Economics, 1, 1, 10.2202/1534-5963.1019 Bank of Japan, 2008, 2007-nendo no kinyu-shijo chosetsu (financial market operations in fiscal year 2007) Beach, 1978, A maximum likelihood procedure for regression with autocorrelated errors, Econometrica, 46, 51, 10.2307/1913644 Cassola, 2013, The 2007 subprime market crisis through the lens of European Central Bank auctions for short-term funds, Econometrica, 81, 1309, 10.3982/ECTA9973 Cheung, 1995, Lag order and critical values of the augmented Dickey-Fuller test, Journal of Business & Economic Statistics, 13, 277 Culbertson, 1957, The term structure of interest rates, The Quarterly Journal of Economics, 71, 485, 10.2307/1885708 Engle, 1987, Cointegration and error-correction: Representation, estimation, and testing, Econometrica, 55, 251, 10.2307/1913236 Fawley, 2013, Four stories of quantitative easing, 51 Fukunaga, 2015, Maturity structure and supply factors in Japanese government bond markets Greenwood, 2014, Bond supply and excess bond returns, The Review of Financial Studies, 27, 663, 10.1093/rfs/hht133 Gromb, 2010, Limits of arbitrage: The state of the theory, Annual Review of Financial Economics, 2, 251, 10.1146/annurev-financial-073009-104107 Hamao, 1998, An analysis of bidding in the Japanese government bond auctions, The Journal of Finance, 53, 755, 10.1111/0022-1082.305342 Han, 2007, The U.S. Treasury buyback auctions: The cost of retiring illiquid bonds, The Journal of Finance, 62, 1547 Hortaçsu, 2012, Information advantage: A study of Canadian treasury auctions, Econometrica, 80, 2511, 10.3982/ECTA8365 Hortaçsu, 2018, Empirical work on auctions of multiple objects, Journal of Economic Literature, 56, 157, 10.1257/jel.20160961 Hortaçsu, 2010, Mechanism choice and strategic bidding in divisible good auctions: An empirical analysis of the Turkish auction market, The Journal of Political Economy, 118, 833, 10.1086/657948 Inaba, 2016 Jarrow, 2014, The impact of quantitative easing on the US term structure of interest rates, Review of Derivatives Research, 17, 287, 10.1007/s11147-014-9099-7 Johansen, 2009, Cointegration: Overview and development, 671 Joyce, 2012, Quantitative easing and unconventional monetary policy – An introduction, The Economic Journal, 122, F271, 10.1111/j.1468-0297.2012.02551.x Kastl, 2011, Discrete bids and empirical inference in divisible good auctions, The Review of Economic Studies, 78, 978, 10.1093/restud/rdq024 Klemperer, 2002, What really matters in auction design, The Journal of Economic Perspectives, 16, 169, 10.1257/0895330027166 Kuroda, 1995 Laubach, 2009, New evidence on the interest rate effects of budget deficits and debt, Journal of the European Economic Association, 7, 858, 10.1162/JEEA.2009.7.4.858 Marszalec, 2017, The impact of auction choice on revenue in treasury bill auctions – An empirical evaluation, International Journal of Industrial Organization, 53, 215, 10.1016/j.ijindorg.2017.05.005 Maskin, 1984, Optimal auctions with risk averse buyers, Econometrica, 52, 1473, 10.2307/1913516 Milgrom, 1982, A theory of auctions and competitive bidding, Econometrica, 50, 1089, 10.2307/1911865 Modigliani, 1966, Innovations in interest rate policy, The American Economic Review, 56, 178 Pesaran, 1998, Generalized impulse response analysis in liner multivariate models, Economic Letters, 58, 17, 10.1016/S0165-1765(97)00214-0 Pesaran, 1980 Rassenti, 1982, A combinatorial auction mechanism for airport time slot allocation, The Bell Journal of Economics, 13, 402, 10.2307/3003463 Snee, 1984, Collinearity diagnostics depend on the domain of prediction, the model, and the data, The American Statistician, 38, 83 Song, 2014 Tsuruoka, 2015, Bidding behavior in discriminatory auctions with underwriting commissions: Theory and evidence from the Japanese government bond market Ubide, 2014, Unconventional monetary policies –– recent experiences, impact, and lessons, 181 Vayanos, 2009, A preferred-habitat model of the term structure of interest rates Wang, 2002, Auctioning divisible goods, Economic Theory, 19, 673, 10.1007/s001990100191 Wu, 2011, The U.S. money market and the term auction facility in the financial crisis of 2007–2009, The Review of Economics and Statistics, 93, 617, 10.1162/REST_a_00083