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Estimation and comparison of treasury auction formats when bidders are asymmetric

  • Erwann Sba�

    (Department of Economics, Commerce A Building, The University of Auckland, Private Bag 92019, Auckland, New Zealand)

  • Olivier Armantier

    (Université de Montréal, Département de Sciences Économiques, Pavillon Lionel-Groulx, 3150, Jean-Brillant, Montréal, Quebec H3T 1N8, Canada)

The structural parameters of a share-auction model accounting for asymmetries 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 across 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 auctions' participants. Copyright © 2006 John Wiley & Sons, Ltd.

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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 21 (2006)
Issue (Month): 6 ()
Pages: 745-779

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Handle: RePEc:jae:japmet:v:21:y:2006:i:6:p:745-779
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