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Auction Performance, Strategic Supply Management, and Bidder Behavior in Treasury Bill Auctions: Evidence from the Philippines

Author

Listed:
  • Eduardo Anthony G. Marino III

    (Asset Management Service, Bureau of the Treasury, Republic of the Philippines)

  • Daniel Marszalec

    (Faculty of Economics, The University of Tokyo)

Abstract

We examine bond auctions in the Philippines by using bid data from around 500 Treasury auctions. The Philippines features a strategic auctioneer who uses both discriminatory and uniform-price auctions, and actively manages supply. Here, discriminatory auctions generate lower borrowing costs, but at the expense of con- centrating awards among fewer bidders. We observe that the decision to restrict supply is driven by cost and strength of demand. Bidders adjust for winner's curse by submitting bids with higher yield spreads in response to higher volatility and more competitors. Though bidder heterogeneity exists, average auction profits do not significantly differ across bidder types.

Suggested Citation

  • Eduardo Anthony G. Marino III & Daniel Marszalec, 2020. "Auction Performance, Strategic Supply Management, and Bidder Behavior in Treasury Bill Auctions: Evidence from the Philippines," CIRJE F-Series CIRJE-F-1138, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2020cf1138
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2020/2020cf1138.pdf
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    References listed on IDEAS

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    Cited by:

    1. Sanna Laksá & Daniel Marszalec & Alexander Teytelboym, 2018. "Epic Fail: How Below-Bid Pricing Backfires in Multiunit Auctions," CIRJE F-Series CIRJE-F-1096, CIRJE, Faculty of Economics, University of Tokyo.
    2. Pycia, Marek & Woodward, Kyle, 2021. "Auctions of Homogeneous Goods: A Case for Pay-as-Bid," CEPR Discussion Papers 15656, C.E.P.R. Discussion Papers.

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