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Bidding Behavior in Austrian Treasury Bond Auctions

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To issue Treasury securities by auctions is a common method in many countries all over the world. The auction mechanisms used vary across countries. As our understanding of bidder behavior in Treasury auctions is still rather limited it is not surprising that the question which auction mechanism should be chosen is still unresolved. In this study, we analyze the bidding behavior in Austrian Treasury bond auctions, using a dataset which contains all bids submitted by each bidder as well as the results of 137 Austrian Treasury auctions from February 1991 to May 2006. Bidders in bond auctions have various means to react to changing market conditions: They may change the degree of bid shading, the quantity of Treasury bonds demanded and the dispersion of their bids. This paper aims to investigate how bidders adjust their strategies to varying uncertainty in the bond market, to different numbers of participating bidders and to changes in the volume of bond issues.

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File URL: https://www.oenb.at/dam/jcr:f6056b5f-942d-4825-bd19-3eea9b6dfdf8/mop_2007_2_elsinger_zulehner_tcm16-59021.pdf
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Article provided by Oesterreichische Nationalbank (Austrian Central Bank) in its journal Monetary Policy & the Economy.

Volume (Year): (2007)
Issue (Month): 2 ()
Pages: 109-125

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Handle: RePEc:onb:oenbmp:y:2007:i:2:b:6
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