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Analysis of Optimal Bids in the Primary Auction of Mexican Federal Government Bonds: Results of a Structural Econometric Modeling Approach

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  • Sara Gabriela Castellanos Pascacio
  • Marco Oviedo

Abstract

In this article we analyze the treasury securities primary auctions of the Mexican Federal Government, using a structural econometric model of Février, Préget and Visser (2002). This model allows to make revenue comparisons across auction formats. Our analysis shows the revenue superiority of the uniform auction format over the discriminatory one. Comparisons with previous estimations as well as simulation exercises of the securities’ value signals, suggest that this result may be explained by the winner’s curse.

Suggested Citation

  • Sara Gabriela Castellanos Pascacio & Marco Oviedo, 2004. "Analysis of Optimal Bids in the Primary Auction of Mexican Federal Government Bonds: Results of a Structural Econometric Modeling Approach," Working Papers 2004-07, Banco de México.
  • Handle: RePEc:bdm:wpaper:2004-07
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    More about this item

    Keywords

    auctions; treasury securities; winner’s curse; structural econometric models;

    JEL classification:

    • C71 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Cooperative Games
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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