Bidders’ Behaviour in Government Securities Auctions: A case study for Colombia
AbstractThe paper examines the bidders behaviour in the Colombian government bond auctions during 2007 for the period in which there is no uncertainty in the supply. Three main findings are presented. First, in contrast with other treasury auctions (Castellanos ), the market clearing price in the Colombian auctions tends to be above the price in the secondary market. I explore this phenomenon and illustrate that a key institutional detail involving a secondary sale contingent on the primary auction may explain this difference with other auctions. Second, using identifiers that allow me to follow individual bidders across auctions I analyze the determinants of the stepwise demands. I find that predetermined variables explain the number of steps (bid-points) and the quantities. However, bid prices exhibit significant unexplained variation. Third, for demands that have 3 or more bid-points, 93% of the variability is captured by a linear regression. This result is similar to what Horta�su finds for Turkish auctions. Theoretically there is no reason for bid-points to be nearly co-linear. At the same time, game-theoretic models of share auctions are quite difficult to implement. This pattern in demands may play an important role in developing feasible and robust estimation methods.
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 InfoPaper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 010501.
Date of creation: 26 Feb 2013
Date of revision:
Contact details of provider:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-09 (All new papers)
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.:
- Zulehner, Christine & Elsinger, Helmut, 2007. "Bidding Behavior in Austrian Teasury Bond Auctions," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 109â125.
- 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, 2002. "Strategic Behaviour and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions," CEPR Discussion Papers 3586, C.E.P.R. Discussion Papers.
- 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.
- Boo-Sung Kang & Steven L. Puller, 2008. "THE EFFECT OF AUCTION FORMAT ON EFFICIENCY AND REVENUE IN DIVISIBLE GOODS AUCTIONS: A TEST USING KOREAN TREASURY AUCTIONS -super-* ," Journal of Industrial Economics, Wiley Blackwell, vol. 56(2), pages 290-332, 06.
- Wilson, Robert, 1979. "Auctions of Shares," The Quarterly Journal of Economics, MIT Press, vol. 93(4), pages 675-89, November.
- Sara Castellanos, 2001. "Mexican treasury securities primary auctions," Theory workshop papers 357966000000000025, UCLA Department of Economics.
- 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.
- Brenner, Menachem & Galai, Dan & Sade, Orly, 2009. "Sovereign debt auctions: Uniform or discriminatory?," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 267-274, March.
- Philippe Février & Raphaële Preget & Michael Visser, 2002. "Econometrics of Share Auctions," Working Papers 2002-09, Centre de Recherche en Economie et Statistique.
- Jakub Kastl, 2011. "Discrete Bids and Empirical Inference in Divisible Good Auctions," Review of Economic Studies, Oxford University Press, vol. 78(3), pages 974-1014.
- Jaime F. Zender & James J.D. Wang, 2002. "Auctioning divisible goods," Economic Theory, Springer, vol. 19(4), pages 673-705.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Norma Judith Paternina).
If references are entirely missing, you can add them using this form.