Front Matter Page
Western Hemisphere Department
Authorized for distribution by Trevor S. Alleyne
Contents
I. Introduction
II. Some Institutional Details
III. Methodology
IV. Descriptive Statistics
A. Bidding Performance Measures
B. Bank Sophistication Measures
C. Measures of Uncertainty
External Uncertainty Measures
Observed Market Uncertainty Measures
V. Results
Results for Quantity-based Performance
Results for Price based performance
VI. Conclusion
References
Figures
1. Bidding Behavior by Bid Size and Intraday Auction
2. Bank Sophistication Measures
3. External Indicators of Market Volatility
4. External and Currency Market Volatility Indicators
Tables
1. Variable Definitions
2. Descriptive Statistics
3. Assessing Quantity-Based Performance Using Spread for Volatility
4. Assessing Quantity-Based Performance Using Sprd for Volatility
5. Assessing Quantity-Based Performance Using Sd for Volatility
6. Assessing Quantity-Based Performance Using Asprd for Volatility
7. Assessing Quantity-Based Performance Using Asd for Volatility
8. Assessing Quantity-Based Performance Using Amdev for Volatility
9. Assessing Quantity-Based Performance Using Cantvsd for Volatility
10. Assessing Quantity-Based Performance Using VBN3MCurncy for Volatility
11. Assessing Quantity-Based Performance Using EMBI for Volatility
12. Assessing Price-Based Performance Using Spread for Volatility
13. Assessing Price-Based Performance Using Sprd for Volatility
14. Assessing Price-Based Performance Using Sd for Volatility
15. Assessing Price-Based Performance Using Asprd for Volatility
16. Assessing Price-Based Performance Using Asd for Volatility
17. Assessing Price-Based Performance Using Amdev for Volatility
18. Assessing Price-Based Performance Using Cantvsd for Volatility
19. Assessing Price-Based Performance Using VBN3MCurncy for Volatility
20. Assessing Price-Based Performance Using EMBI for Volatility
21. Estimates of Impact of Ten Percent Market Share