Comparison of Auction Formats in Canadian Government Auctions
AbstractUsing a rich sample of Canadian government securities auctions, we estimate the structural parameters of a share-auction model accounting for asymmetries across bidders. We find little evidence of asymmetries between participants at Canadian government nominal bond auctions. A counter-factual analysis also suggests that given the assumptions underlying the model used, including that participation and quality of information are exogenous, the discriminatory format currently in place is superior to the uniform-price format in terms of the revenue generated by the Canadian government. Both auction formats, however, are found, under the same assumptions, to be dominated by the so-called "Spanish auction" format.
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Bibliographic InfoPaper provided by Bank of Canada in its series Working Papers with number 09-5.
Length: 37 pages
Date of creation: 2009
Date of revision:
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Debt management; Financial markets; Market structure and pricing;
Find related papers by JEL classification:
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- D63 - Microeconomics - - Welfare Economics - - - Equity, Justice, Inequality, and Other Normative Criteria and Measurement
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-02-14 (All new papers)
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