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György Varga

has a B.S. in Economics (UFRJ), an M.S. in Economy from EPGE/Fundação Getúlio Vargas and a PhD in Economics from EPGE/Fundação Getúlio Vargas. Mr. Varga is currently a Partner at FCE Consultoria, where he conducts research and provides consulting and training in Applied Finances. His experience includes Brazilian and multinational banks and teaching at many Brazilian institutions. He has several articles published in scientific magazines. His interests include topics related to fixed income, derivatives, equity, and mutual funds.

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György Varga: Liquidity Premium and Buyback Auctions in Domestic Brazilian Government Bonds

This article investigates the return differential between liquid and illiquid Brazilian Government bonds, to find out if there is a liquidity premium among this asset like the evidence for the United States. We also investigate the effect of the Brazilian Treasury buyback auctions on the liquidity premium and the market impact cost by the Treasury. The result does not show positive or negative significant premium even when the bonds object of the buyback where excluded.

Last modified: 2018.11.30.