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A Debt Crisis with Strategic Investors
This paper documents changes in investors' demand for sovereign debt during a debt crisis. Using a dataset containing individual bids on Portuguese debt auctions, I document that bid functions become more inelastic during the crisis. That is, investors require bigger drops in price to buy additional units of debt, increasing the government’s marginal cost of issuing debt. I then decompose these changes in demand into two components: a fundamental component, due to changes in the valuation of the security, and a strategic component, that arises from investors' market power. I find that, although the role of market power is negligible in normal times, it gets more pronounced leading up to and during the crisis. The government is not able to extract the full surplus from strategic investors, and, as a result, the auction mechanism loses efficiency during that period. Finally, I discuss a possible mitigation strategy. Everything else constant, the use of shorter maturities could avoid higher inefficiency costs.
Market Liquidity
"The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transacti...
L'isola dei papaveri
Roma, 1939. Da un anno, le leggi razziali sono una realtà anche in Italia e Mussolini ha deciso di perseguitare gli omosessuali per "delitti contro la razza". Il giovane professore di Lettere, di origine siciliana, Michele Arrighi viene arrestato e mandato al confino sull'isola di San Domino (arcipelago delle Tremiti). All'arrivo, trova una colonia penale di soli uomini provenienti da tutta Italia. Gente di ogni ceto e classe sociale: professori, operai, contadini e impiegati. Nonostante il trauma e la violenza subita, Michele si rende conto però che in quel luogo le persone vivono la loro identità sessuale in modo più sereno. Così è spinto a mettersi in gioco fino in fondo: diventa lo...
Il Bolletino
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Bollettino
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