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Estimation and comparison of treasury auction formats when bidders are asymmetric

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Author Info

  • Erwann Sba�

    (Department of Economics, Commerce A Building, The University of Auckland, Private Bag 92019, Auckland, New Zealand)

  • Olivier Armantier

    (Université de Montréal, Département de Sciences Économiques, Pavillon Lionel-Groulx, 3150, Jean-Brillant, Montréal, Quebec H3T 1N8, Canada)

Abstract

The structural parameters of a share-auction model accounting for asymmetries across bidders, as well as supply uncertainty, are estimated with a sample of French Treasury auctions. We find evidence of both informational and risk aversion asymmetries across bidders. A counter-factual analysis also suggests that, in the context of the French Treasury auctions, a shift from the discriminatory to the uniform-price format would simultaneously benefit the French Treasury and the auctions' participants. Copyright © 2006 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/jae.875
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File URL: http://qed.econ.queensu.ca:80/jae/2006-v21.6/
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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 21 (2006)
Issue (Month): 6 ()
Pages: 745-779

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Handle: RePEc:jae:japmet:v:21:y:2006:i:6:p:745-779

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References

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  1. Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
  2. Paarsch, Harry J., 1992. "Deciding between the common and private value paradigms in empirical models of auctions," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 191-215.
  3. Laffont, Jean-Jacques & Ossard, Hervé & Vuong, Quang, 1991. "Econometrics of First-Price Auctions," IDEI Working Papers 7, Institut d'Économie Industrielle (IDEI), Toulouse.
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  7. Loretta J. Mester, 1995. "There's more than one way to sell a security: the Treasury's auction experiment," Business Review, Federal Reserve Bank of Philadelphia, issue Jul, pages 3-17.
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  13. Olivier Armantier & Jean-Pierre Florens & Jean-Francois Richard, 1999. "Nash Equilibrium Approximations in Games of Incomplete Information," Department of Economics Working Papers 99-01, Stony Brook University, Department of Economics.
  14. Carrasco, Marine & Florens, Jean-Pierre, 2002. "Simulation-Based Method of Moments and Efficiency," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 482-92, October.
  15. Donald, Stephen G. & Paarsch, Harry J., 1996. "Identification, Estimation, and Testing in Parametric Empirical Models of Auctions within the Independent Private Values Paradigm," Econometric Theory, Cambridge University Press, vol. 12(03), pages 517-567, August.
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  17. Jean-François Richard & Jean-Pierre Florens & Olivier Armantier, 1998. "Équilibre approximatif et règle intuitive : une application aux appels d'offres dans l'industrie spatiale," Économie et Prévision, Programme National Persée, vol. 132(1), pages 179-190.
  18. Nyborg, Kjell G. & Sundaresan, Suresh, 1996. "Discriminatory versus uniform Treasury auctions: Evidence from when-issued transactions," Journal of Financial Economics, Elsevier, vol. 42(1), pages 63-104, September.
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Cited by:
  1. Timothy P. Hubbard & Harry J. Paarsch, 2012. "On the Numerical Solution of Equilibria in Auction Models with Asymmetries within the Private-Values Paradigm," Carlo Alberto Notebooks 291, Collegio Carlo Alberto.
  2. Olivier Armantier & Jean-Pierre Florens & Jean-Francois Richard, 2008. "Approximation of Nash equilibria in Bayesian games," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(7), pages 965-981.
  3. Sara G. Castellanos & Marco A. Oviedo, 2004. "Optimal Bidding in the Mexican Treasury Securities Primary Auctions: Results from a Structural Econometrics Approach," Levine's Working Paper Archive 122247000000000118, David K. Levine.
  4. Ali Hortacsu & Jakub Kastl, 2008. "Testing for Common Values in Canadian Treasury Bill Auctions," Discussion Papers 07-053, Stanford Institute for Economic Policy Research.
  5. Walter Orellana Bernardo Fernández Vladimir Fernández & Bernardo Fernández & Vladimir Fernández, 2006. "Subasta electrónica interactiva y subasta a sobre cerrado: un análisis comparativo de los resultados en Bolivia," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 299-345, julio-sep.
  6. Jakub Kastl & Ali Hortacsu, 2007. "Testing for Common Valuation in Treasury Bills Auctions," 2007 Meeting Papers 222, Society for Economic Dynamics.
  7. Armantier, Olivier & Florens, Jean-Pierre & Richard, Jean-François, 2008. "Approximation of Bayesian Nash Equilibrium," Open Access publications from University of Toulouse 1 Capitole http://neeo.univ-tlse1.fr, University of Toulouse 1 Capitole.
  8. Olivier Armantier & Nourredine Lafhel, 2009. "Comparison of Auction Formats in Canadian Government Auctions," Working Papers 09-5, Bank of Canada.
  9. Hortaçsu, Ali, 2011. "Recent progress in the empirical analysis of multi-unit auctions," International Journal of Industrial Organization, Elsevier, vol. 29(3), pages 345-349, May.

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