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Testing for Common Valuation in Treasury Bills Auctions

Author

Listed:
  • Jakub Kastl

    (Stanford University)

  • Ali Hortacsu

    (University of Chicago)

Abstract

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.

Suggested Citation

  • Jakub Kastl & Ali Hortacsu, 2007. "Testing for Common Valuation in Treasury Bills Auctions," 2007 Meeting Papers 222, Society for Economic Dynamics.
    • Handle: RePEc:red:sed007:222
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    References listed on IDEAS

    as
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