Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market
构建美国国债拍卖市场动态模型，证明理性均衡下交易者可通过当发行市场信息操纵拍卖、挤压空头，导致价格泡沫和回购利率特殊，并比较歧视性与统一价格拍卖规则下的操纵可能性。
This paper models the U.S. Treasury securities auction market and demonstrates that mar? ket manipulation can occur in a rational equilibrium. It is a dynamic model with traders participating in a market, a Treasury auction, and a resale market. Manipu? lations occur when dealers in the when-issued market use their knowledge of the net order flow in order to corner the auction and squeeze the shorts (from the when-issued market). This manipulation equilibrium generates bubbles in Treasury security prices and specials in repo rates. We also compare discriminatory and uniform price auction rules with respect to manipulation. Our analysis shows that manipulations can occur in long-run equilibrium under discriminatory price auctions, but not under uniform price auctions.