Professor Angelo Ranaldo, University of Basel

"The Demand for Safe Assets"

Wednesday 10 December 2025. 15:00-16:30 Room 587 The Adam Smith Business School Building

Abstract

This paper examines how heterogeneity in investment horizons determines the demand for safe assets, bidding strategies in auctions, and post-auction price dynamics. We model a uniform-price double auction with resale where long-term investors hold assets to maturity, while dealer banks distribute the asset in secondary markets. Pure private (common) values emerge when only long-term investors (dealers) participate. Using unique data on Swiss Treasury bond auctions revealing bidders' identities, our empirical findings support key predictions: (1) substantial heterogeneity in demand schedules, with steeper demand curves for dealer banks; (2) Dealer banks' demand becomes steeper with increased demand risk and bid dispersion; and (3) demand elasticity positively predicts post-auction returns.

 

Keywords: auction, asset demand, safe asset, private and common values, government bonds

Bio

Angelo Ranaldo is a full Professor of Finance at the University of Basel and Swiss Finance Institute (SFI) senior chair. He is also member of the Bank Council of the Swiss National Bank and he collaborates with several institutions, including the Bank of England, the Bank for International Settlements, International Monetary Fund, and the European Central Bank, which awarded him the 2018 Duisenberg Fellowship.


For further information, please contact business-school-research@glasgow.ac.uk

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First published: 17 October 2025

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