Bidders´ Behaviour in Government Securities Auctions: A case study for Colombia
The paper examines the bidders behaviour in the Colombian government bond auctions during 2007 for the period in which there is no uncertainty in the supply. Three main findings are presented. First, in contrast with other treasury auctions (Castellanos ), the market clearing price in the Colombian auctions tends to be above the price in the secondary market. I explore this phenomenon and illustrate that a key institutional detail involving a secondary sale contingent on the primary auction may explain this difference with other auctions. Second, using identifiers that allow me to follow individual bidders across auctions I analyze the determinants of the stepwise demands. I find that predetermined variables explain the number of steps (bid-points) and the quantities. However, bid prices exhibit significant unexplained variation. Third, for demands that have 3 or more bid-points, 93% of the variability is captured by a linear regression. This result is similar to what HortaÇsu finds for Turkish auctions. Theoretically there is no reason for bid-points to be nearly co-linear. At the same time, game-theoretic models of share auctions are quite difficult to implement. This pattern in demands may play an important role in developing feasible and robust estimation methods.
|Date of creation:||26 Feb 2013|
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- Jakub Kastl, 2011. "Discrete Bids and Empirical Inference in Divisible Good Auctions," Review of Economic Studies, Oxford University Press, vol. 78(3), pages 974-1014.
- Brenner, Menachem & Galai, Dan & Sade, Orly, 2009. "Sovereign debt auctions: Uniform or discriminatory?," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 267-274, March.
- Robert Wilson, 1979. "Auctions of Shares," The Quarterly Journal of Economics, Oxford University Press, vol. 93(4), pages 675-689.
- Helmut Elsinger & Christine Zulehner, 2007. "Bidding Behavior in Austrian Treasury Bond Auctions," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 109-125.
- Sara Castellanos, 2001. "Mexican treasury securities primary auctions," Theory workshop papers 357966000000000025, UCLA Department of Economics.
- Matti Keloharju & Kjell G. Nyborg & Kristian Rydqvist, 2005.
"Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions,"
Journal of Finance,
American Finance Association, vol. 60(4), pages 1865-1902, 08.
- Keloharju, Matti & Nyborg, Kjell G & Rydqvist, Kristian, 2002. "Strategic Behaviour and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions," CEPR Discussion Papers 3586, C.E.P.R. Discussion Papers.
- Keloharju, Matti & Nyborg, Kjell G. & Rydqvist, Kristian, 2004. "Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions," University of California at Los Angeles, Anderson Graduate School of Management qt6v17p79w, Anderson Graduate School of Management, UCLA.
- Boo-Sung Kang & Steven L. Puller, 2008. "THE EFFECT OF AUCTION FORMAT ON EFFICIENCY AND REVENUE IN DIVISIBLE GOODS AUCTIONS: A TEST USING KOREAN TREASURY AUCTIONS -super-," Journal of Industrial Economics, Wiley Blackwell, vol. 56(2), pages 290-332, 06.
- 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.
- 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.
- Philippe Février & Raphaële Preget & Michael Visser, 2002. "Econometrics of Share Auctions," Working Papers 2002-09, Centre de Recherche en Economie et Statistique. Full references (including those not matched with items on IDEAS)
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