Part I of this dissertation examines the effect of financing costs on the efficiency of the T-bill futures market. The cost-of-carry model is used and three types of financing costs are selected as proxies for RP (repurchase agreement) rates. The results suggest that the cost-of-carry model assuming a constant RP rate is unreliable in explaining the pricing of T-bill futures. A search for "true" financing costs shows that such financing costs could be a nonlinearly weighted rate of the term RP rate (or the 90-day-maturity T-bill rate) and the federal funds rate. Theoretically implied RP rates in the year of 1983 are also generated for comparisons. Part II examines the impact of inflation uncertainty on the futures-forward rate differential. The cost-of-carry model assuming a constant RP rate ignores the future fluctuations of financing costs. A "risk premium" could arise due to inflation uncertainty. This part provides evidence that there exists a systematic relationship between the daily futures-forward rate differences and the inflation rate. Part III provides a theoretical treatment of the optimal arbitrage investment under uncertainty and of equilibrium pricing in the T-bill futures market. A dynamic stochastic programming model shows that a "myopic" property exists in the T-bill futures market in the sense that expectations of the future one-period price movements do not exert an impact on the current optimal arbitrage investment decision under uncertainty. It shows, however, that such a "myopic" property is not pure in that expectations of financing costs in the next period affect the investment decision in the current period. Equilibrium pricing of the T-bill futures is obtained under arbitrage arguments. It shows that an equilibrium price is achieved at the point where the expected current one-period arbitrage profits are zero when cost-of-carry is required, even in a multi-period setting.

Thesis (Ph. D.)--University of Missouri-Columbia, 1996. / Typescript. Vita. Includes bibliographical references (leaves [189]-195). Also available on the Internet.

Thesis (Ph. D.)--University of Missouri-Columbia, 1996. / Typescript. Vita. Includes bibliographical references (leaves [189]-195). Also available on the Internet.

Thesis (Ph. D.)--University of Florida, 1982. / Typescript. Vita. Description based on print version record. Includes bibliographical references (leaves 129-134).

Thesis (Ph. D.)--Cornell University, 1988. / Vita. Includes bibliographical references (leaves 179-186).

Thesis (Ph. D.)--Ohio State University, 1986. / Includes vita. Includes bibliographical references (leaves 172-184). Available online via OhioLINK's ETD Center.

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O aumento da participação dos títulos públicos pré-fixados no total da dívida pública sempre foi um objetivo perseguido pelas autoridades brasileiras. No entanto, isto só foi possível durante os primeiros anos do Plano Real. Muitos trabalhos empíricos foram realizados recentemente com o intuito de testar alguns pressupostos da teoria de leilões, porém, Silva (2002) foi o único trabalho realizado usando o Brasil como exemplo. O presente trabalho utiliza estatísticas mais confiáveis que Silva (2002), além de realizar testes empíricos relacionando o mercado primário de títulos públicos ao mercado secundário. A principal conclusão a que chegamos é que nos leilões de títulos públicos préfixados os pressupostos teóricos não são válidos, podendo ser fruto da pequena liquidez presente no mercado primário. / The increase of the share of fixed-rate bills in the public debt was always a goal to be pursued by the Brazilian authorities; nevertheless, this was only possible during a short period of time in the first years of the Real Plan. Many empirical works were recently elaborated with the intent to test the auction theory hypothesis, but only Silva (2002) used Brazilian data. This present dissertation uses more trustworthy figures than Silva’s work, beyond the realization of empirical tests relating the primary market to the secondary market. The most important contribution is that in the fixed rate Brazilian’s treasury auction, the estimated theoreticians do not function, and this could be due to the primary market’s low liquidity.

O aumento da participação dos títulos públicos pré-fixados no total da dívida pública sempre foi um objetivo perseguido pelas autoridades brasileiras. No entanto, isto só foi possível durante os primeiros anos do Plano Real. Muitos trabalhos empíricos foram realizados recentemente com o intuito de testar alguns pressupostos da teoria de leilões, porém, Silva (2002) foi o único trabalho realizado usando o Brasil como exemplo. O presente trabalho utiliza estatísticas mais confiáveis que Silva (2002), além de realizar testes empíricos relacionando o mercado primário de títulos públicos ao mercado secundário. A principal conclusão a que chegamos é que nos leilões de títulos públicos préfixados os pressupostos teóricos não são válidos, podendo ser fruto da pequena liquidez presente no mercado primário. / The increase of the share of fixed-rate bills in the public debt was always a goal to be pursued by the Brazilian authorities; nevertheless, this was only possible during a short period of time in the first years of the Real Plan. Many empirical works were recently elaborated with the intent to test the auction theory hypothesis, but only Silva (2002) used Brazilian data. This present dissertation uses more trustworthy figures than Silva’s work, beyond the realization of empirical tests relating the primary market to the secondary market. The most important contribution is that in the fixed rate Brazilian’s treasury auction, the estimated theoreticians do not function, and this could be due to the primary market’s low liquidity.