GARCIA, Márcio G. P
Leilões de títulos da dívida pública pelo banco central do Brasil : um estudo dos fatores comdicionantes da dispersão das propostas para os BBCs - São Paulo : Editora 34, out./dez. 2000
We aim at obtaining a simple econometric model that allows us to build a confidence interval for the dispersion of the bids made by financial institutions at the central bank weekly auctions of short term securities in Brazil. Under competitive conditions (e. g., no coalition between a few financial institutions) we assume that the bid's dispersion is associated with the volatility of the daily interest rate futures prices and the daily interest rates that had prevailed during the days prior to the auction. Based on that assumption, our model succeeds in separating the two auctions with extremely high volatility. In one of them, the high dispersion could be predicted using the other interest rate markets' data; in the other the dispersion fell outside the confidence interval for the predicted dispersion. This can be used as empirical evidence of an attempt to corner the market that has indeed ocurred at that date
Leilões de títulos da dívida pública pelo banco central do Brasil : um estudo dos fatores comdicionantes da dispersão das propostas para os BBCs - São Paulo : Editora 34, out./dez. 2000
We aim at obtaining a simple econometric model that allows us to build a confidence interval for the dispersion of the bids made by financial institutions at the central bank weekly auctions of short term securities in Brazil. Under competitive conditions (e. g., no coalition between a few financial institutions) we assume that the bid's dispersion is associated with the volatility of the daily interest rate futures prices and the daily interest rates that had prevailed during the days prior to the auction. Based on that assumption, our model succeeds in separating the two auctions with extremely high volatility. In one of them, the high dispersion could be predicted using the other interest rate markets' data; in the other the dispersion fell outside the confidence interval for the predicted dispersion. This can be used as empirical evidence of an attempt to corner the market that has indeed ocurred at that date
