Treasury auctions: what do the recent models and results tell us?
Auctions, as selling mechanisms, have existed for well over two thousand years. Today, one of the most important auction markets in the world is that of U.S. Treasury securities; approximately $2 trillion worth of Treasury securities was auctioned in 1995. ; A long-standing debate has been about selecting an appropriate auction format for various Treasury securities, a format that would be least subject to possible manipulation by individual traders or a cartel and also result in the highest possible revenues for the Treasury. The Treasury is currently experimenting with what is called a uniform-price format for auctioning two- and five-year Treasury notes. A similar mechanism might be put into broader use. ; This article explains Treasury auctions in light of recent theoretical research and related empirical evidence. Empirically there seems to be no discernible difference between discriminatory and uniform-price auctions in terms of revenue to the Treasury. The author concludes that the proposal to switch to electronic ascending-price open-outcry auctions with an implied uniform price may be worthy of more consideration.
Volume (Year): (1997)
Issue (Month): Q 4 ()
|Contact details of provider:|| Postal: 1000 Peachtree St., N.E., Atlanta, Georgia 30309|
Web page: http://www.frbatlanta.org/
More information through EDIRC
|Order Information:|| Email: |
References listed on IDEAS
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.:
- Nyborg, Kjell G. & Sundaresan, Suresh, 1996. "Discriminatory versus uniform Treasury auctions: Evidence from when-issued transactions," Journal of Financial Economics, Elsevier, vol. 42(1), pages 63-104, September.
- Gautam Goswami & Thomas H. Noe & Michael J. Rebello, 1995.
"Collusion in uniform-price auctions: experimental evidence and implications for Treasury auctions,"
FRB Atlanta Working Paper
95-5, Federal Reserve Bank of Atlanta.
- Goswami, Gautam & Noe, Thomas H & Rebello, Michael J, 1996. "Collusion in Uniform-Price Auctions: Experimental Evidence and Implications for Treasury Auctions," Review of Financial Studies, Society for Financial Studies, vol. 9(3), pages 757-85.
- Back, Kerry & Zender, Jaime F, 1993. "Auctions of Divisible Goods: On the Rationale for the Treasury Experiment," Review of Financial Studies, Society for Financial Studies, vol. 6(4), pages 733-64.
- Paul Milgrom & Robert J. Weber, 1981.
"A Theory of Auctions and Competitive Bidding,"
447R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Tenorio, Rafael, 1993. "Revenue Equivalence and Bidding Behavior in a Multi-unit Auction Market: An Empirical Analysis," The Review of Economics and Statistics, MIT Press, vol. 75(2), pages 302-14, May.
- V. V. Chari & Robert J. Weber, 1992. "How the U.S. Treasury should auction its debt," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 3-12.
- Robert Wilson, 1979. "Auctions of Shares," The Quarterly Journal of Economics, Oxford University Press, vol. 93(4), pages 675-689.
- Clifford W. Smith, 1992. "Economics And Ethics: The Case Of Salomon Brothers," Journal of Applied Corporate Finance, Morgan Stanley, vol. 5(2), pages 23-28.
- Michael B. Gordy, 1997.
"Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction,"
- Michael B. Gordy, 1999. "Hedging Winner'S Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction," The Review of Economics and Statistics, MIT Press, vol. 81(3), pages 448-465, August.
- Chatterjea, Arkadev & Jarrow, Robert A., 1998. "Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(02), pages 255-289, June.
- 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.
- McAfee, R Preston & McMillan, John, 1987. "Auctions and Bidding," Journal of Economic Literature, American Economic Association, vol. 25(2), pages 699-738, June.
- Robert Alan Feldman & Vincent Reinhart, 1995. "Flexible Estimation of Demand Schedules and Revenue Under Different Auction Formats," IMF Working Papers 95/116, International Monetary Fund.
- Hugh Cohen & Douglas McBeth, 1994. "The effect of tick size on Treasury auctions," FRB Atlanta Working Paper 94-9, Federal Reserve Bank of Atlanta.
- Simon, David P., 1994. "Markups, quantity risk, and bidding strategies at treasury coupon auctions," Journal of Financial Economics, Elsevier, vol. 35(1), pages 43-62, February.
- Umlauf, Steven R., 1993. "An empirical study of the Mexican Treasury bill auction," Journal of Financial Economics, Elsevier, vol. 33(3), pages 313-340, June.
When requesting a correction, please mention this item's handle: RePEc:fip:fedaer:y:1997:i:q4:p:4-15:n:v.82no.4. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Meredith Rector)
If references are entirely missing, you can add them using this form.