Multiagent System Simulations of Treasury Auctions
AbstractThis study uses a multiagent system to determine which payment rule provides the most revenue in Treasury auctions that are based on Canadian rules. The model encompasses the when-issued, auction, and secondary markets, as well as constraints for primary dealers. I find that the Spanish payment rule is revenue inferior to the Discriminatory payment rule across all market price spreads, but the Average rule is revenue superior. For most market-price spreads, Uniform payment results in less revenue than Discriminatory, but there are many cases in which Vickrey payment produces more revenue.
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Bibliographic InfoPaper provided by Department of Economics, University of Victoria in its series Department Discussion Papers with number 0709.
Length: 69 pages
Date of creation: 19 Nov 2007
Date of revision:
Note: ISSN 1914-2838
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Axiomatic bargaining; resource monotonicity; transferable utility; risk aversion;
Find related papers by JEL classification:
- C71 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Cooperative Games
- D13 - Microeconomics - - Household Behavior - - - Household Production and Intrahouse Allocation
- 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-2007-11-24 (All new papers)
- NEP-CMP-2007-11-24 (Computational Economics)
- NEP-GTH-2007-11-24 (Game Theory)
- NEP-UPT-2007-11-24 (Utility Models & Prospect Theory)
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