@article{oprea2021assessment,
  title = {On The Assessment of the V-Inverted Shape Pattern for Romanian Government Bond Yields Around Treasury Auctions},
  author = {Andreea OPREA},
  year = 2021,
  url = {https://ibimapublishing.com/articles/JFSR/2021/726877/},
  journal = {Journal of Financial Studies and Research},
  volume = 2021,
  pages = 28,
  doi = 10.5171/2021.726877,
  abstract = {In this paper, we intend to provide some theoretical and practical insights on the interdependence between treasury auctions and market yields around auction time. Based on previous research, we investigated the presence of the auction cycle and the corresponding V-inversed pattern of yields in the case of the Romanian sovereign bond market. For the 2-, 4- and 5-year on-the-run government bonds we found statistical evidence that a V-inversed pattern or a partial pattern emerged around auction days.This evidence supports the theory that primary dealers tend to liquidate positions prior to treasury auctions so that they can take on more risk. Apart from the auction cycle which based on the Romanian bond market specificities was considered to be of length 5 (composing the auction day and 2 days prior and after the auction), we also investigated the intraday behavior of market yields during auction days by comparing market yields quoted at different hours throughout the auction day with those quoted at a “reference” hour. For homogeneity purposes, this was established at 12:00 p.m, representing he time limit of primary dealers to submit their bids. Intraday spikes were generally observed in the second half of the auction day,, signaling that the “reference” hour requires further recalibration, as the main trigger of the V-inversed evolution of intraday yields –in case it emerges- is represented by the new information contained in the published auction results. Ultimately, we discovered that in times of increased market volatility, the amplitude of the auction cycle resulted larger for those securities with a residual maturity of 4- and 5-years, a relevant result judging by the higher liquidity corresponding to the belly zone of the yield curve, and thus the particularity of these debt instruments to get sold-off first by primary dealers in times of increased market stress.  
JEL Codes: G12, G14, G28, E43, H63
 },
  keywords = {primary market, treasury bond auctions, government securities, secondary market, bond yields},
  note = Article ID: 726877
}