Testing for Common Valuation in Treasury Bills Auctions
We develop a test for common values in treasury bill auction. The test is based on different bidding dynamics within an auction under the two competing models. Bidders who obtain information about rivals' bids in the private values model use this information only to update their prior on the distribution of the residual supplies. In the model with common value component, they also update their prior of the valuation itself. We use this different updating effect to construct our test and we apply it to data from Canadian treasury bill market.
|Date of creation:||2007|
|Contact details of provider:|| Postal: Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA|
Web page: http://www.EconomicDynamics.org/
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NBER Working Papers
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