caa a22 4500 388047755 CHVBK 20180307125042.0 cr unu---uuuuu 161130e199806 xx s 000 0 eng 10.2307/2331310 doi S0022109000000946 pii (NATIONALLICENCE)cambridge-10.2307/2331310 Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market [Elektronische Daten] This paper models the U.S. Treasury securities auction market and demonstrates that market manipulation can occur in a rational equilibrium. It is a dynamic model with traders participating in a "when-issued” market, a Treasury auction, and a resale market. Manipulations 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. Copyright © School of Business Administration, University of Washington 1998 Chatterjea Arkadev Kelley School of Business, Indiana University, Bloomington, IN 47405 Jarrow Robert A. Johnson Graduate School of Management, Cornell University, Ithaca, NY 14853 and the Kamakura Corporation, Chigasaki, Japan. Journal of Financial and Quantitative Analysis Cambridge University Press 33/2(1998-06), 255-289 0022-1090 33:2<255 1998 33 JFQ https://doi.org/10.2307/2331310 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331310 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Chatterjea Arkadev Kelley School of Business, Indiana University, Bloomington, IN 47405 NATIONALLICENCE 700 1- Jarrow Robert A. Johnson Graduate School of Management, Cornell University, Ithaca, NY 14853 and the Kamakura Corporation, Chigasaki, Japan NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 33/2(1998-06), 255-289 0022-1090 33:2<255 1998 33 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge