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Auction Mechanisms and Treasury Revenue

Author

Listed:
  • Klenio Barbosa
  • Dakshina De Silva
  • Liyu Yang
  • Hisayuki Yoshimoto

Abstract

This paper exploits a large-size auction experiment conducted by two Chinese Government Treasury security issuers -the Chinese Development Bank and the Export-Import Bank- to investigate whether Treasury securities should be sold through uniform or discriminatory auction mechanisms. Based on the outcomes of more than 300 Treasury securities issued through an alternating auction-rule market experiment, we find that auction outcome yield rates of the two auction formats are not statistically different, suggesting revenue equivalence. This equivalence is robust across different revenue measurements and participation behavior.

Suggested Citation

  • Klenio Barbosa & Dakshina De Silva & Liyu Yang & Hisayuki Yoshimoto, 2019. "Auction Mechanisms and Treasury Revenue," Working Papers 267027285, Lancaster University Management School, Economics Department.
    • Handle: RePEc:lan:wpaper:267027285
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    References listed on IDEAS

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    Cited by:

    1. Takahiro Hattori & Shogo Takahashi, 2021. "Discriminatory versus uniform auctions:Evidence from JGB market," Discussion papers ron344, Policy Research Institute, Ministry of Finance Japan.
    2. Klenio Barbosa & Dakshina De Silva & Liyu Yang & Hisayuki Yoshimoto, 2020. "Bond Losses and Systemic Risk," Working Papers 288072615, Lancaster University Management School, Economics Department.

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    More about this item

    Keywords

    Treasury Security Auctions; Discriminatory Auctions; Uniform Auctions; Revenue Equivalence;
    All these keywords.

    JEL classification:

    • C57 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Econometrics of Games and Auctions
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions

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