Estimation and Comparison of Treasury Auction Formats when Bidders are Asymmetric
AbstractThe structural parameters of a share-auction model accounting for asymmetry 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 between 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 auction's participants.
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Bibliographic InfoPaper provided by Stony Brook University, Department of Economics in its series Department of Economics Working Papers with number 03-02.
Date of creation: 2003
Date of revision:
Other versions of this item:
- Erwann Sba� & Olivier Armantier, 2006. "Estimation and comparison of treasury auction formats when bidders are asymmetric," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 745-779.
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