[PDF] Bidder Behavior And Market Outcomes In Treasury Bill Auctions eBook

Author : Daniel C. L. Hardy
Publisher : International Monetary Fund
Page : 36 pages
File Size : 31,29 MB
Release : 2000-06
Category : Business & Economics
ISBN :

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Behavior in the first three years of auctions for Pakistani treasury bills is studied. Bidding strategies rapidly converged to a consistent pattern after the auctions started in 1991. Factors are identified that influenced the expected profitability of auction participation, which was on average low and did not differ between types of bidders. Prices bid are found to reflected both ‘buy and sell’ and ‘buy and hold’ strategies, and were affected by risk considerations and bidder-specific variables. The Pakistani experience suggests the robustness of auctions as a market-based allocation mechanism, and their value in public debt management.

Author : Mr.Carlo Cottarelli
Publisher : International Monetary Fund
Page : 70 pages
File Size : 46,62 MB
Release : 1994-11-01
Category : Business & Economics
ISBN : 1451855648

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We review the main issues that arise in the design of treasury bill auctions and survey the relevant empirical literature. We also provide a detailed description of the actual design of these auctions in a sample of 42 industrial and developing countries.

Author : Daniel Hardy
Publisher :
Page : 31 pages
File Size : 41,23 MB
Release : 2006
Category :
ISBN :

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Behavior in the first three years of auctions for Pakistani treasury bills is studied. Bidding strategies rapidly converged to a consistent pattern after the auctions started in 1991. Factors are identified that influenced the expected profitability of auction participation, which was on average low and did not differ between types of bidders. Prices bid are found to reflected both 'buy and sell' and 'buy and hold' strategies, and were affected by risk considerations and bidder-specific variables. The Pakistani experience suggests the robustness of auctions as a market-based allocation mechanism, and their value in public debt management.

Author : Heino Dossing
Publisher :
Page : 96 pages
File Size : 39,47 MB
Release : 2009
Category :
ISBN :

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In this paper I analyze the bidder behavior in uniform-pricing auctions. The paper contains a description of the most fundamental theory on discriminatory and uniform pricing auctions, a review of the existing literature and a unique empirical study of the bidder behavior in the Danish Treasury-Bill auction of 2007. The bidder-behavior in the Danish T-bill auctions was compared to the predictions of four different theoretical models via a methodology developed by Keloharju, Nyborg and Rydqvist (2005). It is found that the individual bidder's behavior is unaffected by risk and market power. Thus, price volatility and market power do not determine the profitability of the Danish T-bill Auctions. This leads to a suspicion of tacit collusion among the bidders in the Danish Treasury Bill auctions. As a consequence my empirical results could not contribute to a further mapping of the theoretical predictions on actual bidder behavior in Treasury security auctions that are confirmed by empirical data. In addition I did not come closer to an answer to the question: which auction procedure is most profitable - discriminatory or the uniform-pricing?However, my findings do add one interesting aspect to the existing literature: the relative profitability of any auction procedure can be affected by the degree of tacit collusion. Thus, any future comparisons of discriminatory and uniform-pricing auctions (across different countries or different time-periods) should take the possibility of collusion into account. Finally, future empirical studies of the bidder behavior in Treasury-security auctions could be devoted to the development of quantitative tools to detect collusion.