Demand functions in Polish Treasury auctions
AbstractI introduce a new approach to modeling aggregate bidding functions (demand functions) submitted by participants of share auctions, the one based on (scaled) normal cumulative distribution functions. I provide a simple model illustrating how normal cdf-shaped demand might arise. Then, using new data from the Polish Treasury securities auctions, I show first, that assumptions of the model underlying the normal cdf specification fit the stylized characteristics of the data set and, second, that this approach actually generates a slightly better fit than the traditional approximation by logistic function. I also relate the parameters of the fitted function to economic variables known prior to the auction. This method appears to be a useful tool for early detection of slumps in the performance of a particular auction design.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by National Bank of Poland, Economic Institute in its journal Bank i Kredyt.
Volume (Year): 40 (2009)
Issue (Month): 4 ()
Contact details of provider:
Postal: 00-919 Warszawa ul. Świętokrzyska 11/21
Phone: (0-22) 653 10 00
Fax: (0-22) 620 85 18
Web page: http://www.bankikredyt.nbp.pl/menu_en.aspx
More information through EDIRC
Treasury auctions; normal cumulative distribution function; underpricing;
Find related papers by JEL classification:
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Keloharju, Matti & Nyborg, Kjell G & Rydqvist, Kristian, 2002.
"Strategic Behaviour and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions,"
CEPR Discussion Papers
3586, C.E.P.R. Discussion Papers.
- Matti Keloharju & Kjell G. Nyborg & Kristian Rydqvist, 2005. "Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions," Journal of Finance, American Finance Association, vol. 60(4), pages 1865-1902, 08.
- Keloharju, Matti & Nyborg, Kjell G. & Rydqvist, Kristian, 2004. "Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions," University of California at Los Angeles, Anderson Graduate School of Management qt6v17p79w, Anderson Graduate School of Management, UCLA.
- Daniel Heller & Yvan Lengwiler, 2001. "Should the Treasury Price Discriminate?. A Procedure for Computing Hypothetical Bid Functions," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 157(3), pages 413-, September.
- Back, Kerry & Zender, Jaime F, 1993. "Auctions of Divisible Goods: On the Rationale for the Treasury Experiment," Review of Financial Studies, Society for Financial Studies, vol. 6(4), pages 733-64.
- Michael B. Gordy, 1999.
"Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction,"
The Review of Economics and Statistics,
MIT Press, vol. 81(3), pages 448-465, August.
- Michael B. Gordy, 1997. "Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction," Microeconomics 9702002, EconWPA.
- Michael J. Fleming, 2002.
"Are larger Treasury issues more liquid? Evidence from bill reopenings,"
145, Federal Reserve Bank of New York.
- Michael J. Fleming, 2002. "Are larger Treasury issues more liquid? Evidence from bill reopenings," Proceedings, Federal Reserve Bank of Cleveland, pages 707-739.
- Fleming, Michael J, 2002. "Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 707-35, August.
- Umlauf, Steven R., 1993. "An empirical study of the Mexican Treasury bill auction," Journal of Financial Economics, Elsevier, vol. 33(3), pages 313-340, June.
- Yasushi Hamao & Narasimhan Jegadeesh, 1998. "An Analysis of Bidding in the Japanese Government Bond Auctions," Journal of Finance, American Finance Association, vol. 53(2), pages 755-772, 04.
- Cammack, Elizabeth B, 1991. "Evidence on Bidding Strategies and the Information in Treasury Bill Auctions," Journal of Political Economy, University of Chicago Press, vol. 99(1), pages 100-130, February.
- Preget, Raphaele & Waelbroeck, Patrick, 2005. "Treasury bill auction procedures: Empirical perspectives from French market bid functions," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1054-1072, November.
- Daripa, Arupratan, 2001.
"A theory of treasury auctions,"
Journal of International Money and Finance,
Elsevier, vol. 20(6), pages 743-767, November.
- Jegadeesh, Narasimhan, 1993. " Treasury Auction Bids and the Salomon Squeeze," Journal of Finance, American Finance Association, vol. 48(4), pages 1403-19, September.
- Kjell G. Nyborg & Kristian Rydqvist & Suresh M. Sundaresan, 2002. "Bidder Behavior in Multiunit Auctions: Evidence from Swedish Treasury Auctions," Journal of Political Economy, University of Chicago Press, vol. 110(2), pages 394-424, April.
- 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.
- Wilson, Robert, 1979. "Auctions of Shares," The Quarterly Journal of Economics, MIT Press, vol. 93(4), pages 675-89, November.
- Philippe Février & Raphaële Preget & Michael Visser, 2002. "Econometrics of Share Auctions," Working Papers 2002-09, Centre de Recherche en Economie et Statistique.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sylwia Roszkowska).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.