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Subasta electrónica interactiva y subasta a sobre cerrado: un análisis comparativo de los resultados en Bolivia

  • Walter Orellana

    (Banco Central de Bolivia)

  • Bernardo Fernández

    (Banco Central de Bolivia)

  • Vladimir Fernández

    (Banco Central de Bolivia)

La subasta es el mecanismo fundamental por medio del cual el Banco Central de Bolivia (BCB) ejecuta sus operaciones de mercado abierto, instrumento principal de su política monetaria. Este mecanismo es utilizado también en la colocación de valores para financiamiento fiscal. Luego de varios años de utilizar una subasta a sobre cerrado y precio discriminante, el año 2005 el BCB implementó una subasta electrónica interactiva, cuya modalidad es conocida usualmente como inglesa abierta o de precios ascendentes. La teoría de subastas sostiene que el cambio de formato en éstas conlleva modificaciones importantes en las estrategias de los participantes y, por ende, en los resultados obtenidos. En síntesis, se esperaría que la aplicación de la nueva modalidad permita: a) la reducción de la llamada "maldición del ganador", b) una mayor participación en subasta, y c) la caída de los costos de financiamiento para el emisor. Con el fin de evaluar y verificar estos postulados teóricos, el presente estudio realiza una comparación de los resultados generados por ambos formatos de subasta, mediante un análisis estadístico descriptivo y la estimación econométrica de dos ecuaciones reducidas, las cuales pretenden representar el comportamiento de los agentes en subasta.

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Article provided by Centro de Estudios Monetarios Latinoamericanos in its journal Monetaria.

Volume (Year): XXIX (2006)
Issue (Month): 3 (julio-septiembre)
Pages: 299-345

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Handle: RePEc:cml:moneta:v:xxix:y:2006:i:3:p:299-345
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