A Treasury of Words

A MODEL FOR EVOLUTIONARY DYNAMICS OF WORDS IN A LANGUAGE

Human language, over its evolutionary history, has emerged as one of the fundamental defining characteristic of the modern man. However, this milestone evolutionary process through natural selection has not left any ’linguistic fossils’ that may enable us to trace back the actual course of development of language and its establishment in human societies. Lacking analytical tools to fathom the cr...

Competition in Treasury Auctions

We investigate the role of competition on the outcome of Austrian Treasury auctions. EU accession by Austria provides a ``natural experiment'' causing an exogenous increase in the number of bidders in Treasury Auctions. We use structural estimates of bidders' private values to examine the effect of increased competition on auction revenue and compare bidder surplus before and after the auction....

Competition in Austrian Treasury Auctions

We investigate the role of competition on the outcome of Austrian Treasury auctions. EU accession by Austria provides a “natural experiment” causing an exogenous increase in the number of bidders in Treasury Auctions. Difference-in-difference estimates suggest that the increased number in bidders caused a significant drop in the yields Austria had to pay for newly issued debt. We use structural...

Measuring Treasury Market Liquidity

This paper examines a comprehensive set of liquidity measures for the U.S. Treasury market. The measures are analyzed relative to one another, across securities, and over time. I find highly significant price impact coefficients, such that a simple model that explains price changes with net order flow produces an R statistic above 30% for the two-year note. The price impact coefficients are hig...

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