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Adjudications des valeurs du Trésor

  • Raphaële Préget

[fre] Raphaële Préget Adjudications des valeurs du Trésor. L'objectif de cet article est de faire le point sur le système d'enchère des valeurs du Trésor. Bien que largement employée dans de nombreux pays, la technique de l'adjudication pour le placement des nouvelles émissions de titres publics suscite diverses interrogations. Il existe notamment un débat persistant qui oppose les deux procédures les plus couramment utilisées dans le monde : l'enchère discriminatoire et l'enchère à prix uniforme. Ce débat motive de nombreux travaux théoriques, empiriques et expérimentaux. Cet article s'inscrit à la suite de celui de Florence Naegelen [1995] dont le but était de « mettre en évidence de façon simple les arguments qui plaident en faveur d'un prix uniforme ». L'objectif, ici, consiste à pré- senter certains développements récents qui remettent en cause la supériorité de l'enchère à prix uniforme sur l'enchère discriminatoire, pour la France en particulier. L'élément privilégié dans cette revue de la littérature repose sur la prise en compte de l'aspect pluri-unitaire des demandes dans les enchères du Trésor. [eng] Treasury Securities Auctions. The objective of this article is to focus on the Treasury securities auction system. Although widely used in many countries, the auctioning technique to sell new issued government securities raises many questions. There exists in particular a persistent debate opposing the two procedures most used in the world : the discriminatory auction and the uniform-price auction. This debate motivates numerous theoretical, empirical and experimental studies. This survey follows the article of Florence Naegelen [1995] which aim was to « bring to light in a simple way the arguments which plead in favor of a uniform price ». The objective here is to present some recent developments which challenge the superiority of the uniform price auction on the discriminatory auction for France in particular. The privileged element of this review of the literature relies on the multi-unit aspect of the demands in Treasury auctions.

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File URL: http://dx.doi.org/doi:10.3406/rfeco.2004.1536
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File URL: http://www.persee.fr/doc/rfeco_0769-0479_2004_num_18_4_1536
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Article provided by Programme National Persée in its journal Revue française d'économie.

Volume (Year): 18 (2004)
Issue (Month): 4 ()
Pages: 63-110

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Handle: RePEc:prs:rfreco:rfeco_0769-0479_2004_num_18_4_1536
Note: DOI:10.3406/rfeco.2004.1536
Contact details of provider: Web page: http://www.persee.fr/collection/rfeco

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  1. Michael B. Gordy, 1997. "Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction," Microeconomics 9702002, EconWPA.
  2. McAfee, R Preston & McMillan, John, 1987. "Auctions and Bidding," Journal of Economic Literature, American Economic Association, vol. 25(2), pages 699-738, June.
  3. Bolten, Steven, 1973. "Treasury Bill Auction Procedures: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 28(3), pages 577-85, June.
  4. Klemperer, Paul, 1999. " Auction Theory: A Guide to the Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 13(3), pages 227-86, July.
  5. Bruno Biais & David Martimort & Jean-Charles Rochet, 2000. "Competing Mechanisms in a Common Value Environment," Econometrica, Econometric Society, vol. 68(4), pages 799-838, July.
  6. Tenorio, Rafael, 1997. "Some evidence on strategic quantity reduction in multiple unit auctions," Economics Letters, Elsevier, vol. 55(2), pages 209-213, August.
  7. Laffont, Jean-Jacques, 1997. "Game theory and empirical economics: The case of auction data 1," European Economic Review, Elsevier, vol. 41(1), pages 1-35, January.
  8. Back, Kerry & Zender, Jaime F., 2001. "Auctions of divisible goods with endogenous supply," Economics Letters, Elsevier, vol. 73(1), pages 29-34, October.
  9. Vincent Reinhart, 1992. "An analysis of potential Treasury auction techniques," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Jun, pages 403-413.
  10. Jegadeesh, Narasimhan, 1993. " Treasury Auction Bids and the Salomon Squeeze," Journal of Finance, American Finance Association, vol. 48(4), pages 1403-19, September.
  11. 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.
  12. Cramton, Peter, 1998. "The Efficiency of the FCC Spectrum Auctions," Journal of Law and Economics, University of Chicago Press, vol. 41(2), pages 727-36, October.
  13. Menezes F. M. & Monteiro, P. K., 1996. "Existence of equilibrium in a descriminatory price auction," Mathematical Social Sciences, Elsevier, vol. 31(1), pages 60-61, February.
  14. Jaime F. Zender & James J.D. Wang, 2002. "Auctioning divisible goods," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 19(4), pages 673-705.
  15. Florence Naegelen, 1995. "Le placement des obligations du trésor : l'Etat doit-il discriminer ?," Revue Française d'Économie, Programme National Persée, vol. 10(3), pages 45-79.
  16. Richard Engelbrecht-Wiggans & Charles M. Kahn, 1998. "Multi-unit auctions with uniform prices," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 12(2), pages 227-258.
  17. Menezes, Flavio M., 1995. "On the optimality of Treasury Bill auctions," Economics Letters, Elsevier, vol. 49(3), pages 273-279, September.
  18. Simon, David P, 1994. "The Treasury's Experiment with Single-Price Auctions in the Mid-1970s: Winner's or Taxpayer's Curse?," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 754-60, November.
  19. Scott, James H & Wolf, Charles R, 1979. "The Efficient Diversification of Bids in Treasury Bill Auctions," The Review of Economics and Statistics, MIT Press, vol. 61(2), pages 280-87, May.
  20. Robert J. Weber, 1997. "Making More from Less: Strategic Demand Reduction in the FCC Spectrum Auctions," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 6(3), pages 529-548, 09.
  21. Robert Wilson, 1979. "Auctions of Shares," The Quarterly Journal of Economics, Oxford University Press, vol. 93(4), pages 675-689.
  22. 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.
  23. Daripa, Arupratan, 2001. "A theory of treasury auctions," Journal of International Money and Finance, Elsevier, vol. 20(6), pages 743-767, November.
  24. 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.
  25. Hoidal Bjonnes, Geir, 2001. "Winner's Curse in Discriminatory Price Auctions: Evidence from the Norwegian Treasury Bill Auctions," SIFR Research Report Series 3, Institute for Financial Research.
  26. Daniel Heller & Yvan Lengwiler, 1998. "The auctions of Swiss government bonds: should the Treasury price discriminate or not?," Finance and Economics Discussion Series 1998-11, Board of Governors of the Federal Reserve System (U.S.).
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