Auctions for government securities: A laboratory comparison of uniform, discriminatory and Spanish designs
| Autor: | Klaus Abbink, Jordi Brandts, Paul Pezanis-Christou |
|---|---|
| Přispěvatelé: | Bureau d'Économie Théorique et Appliquée (BETA), Institut National de la Recherche Agronomique (INRA)-Université de Strasbourg (UNISTRA)-Université de Lorraine (UL)-Centre National de la Recherche Scientifique (CNRS) |
| Jazyk: | angličtina |
| Rok vydání: | 2008 |
| Předmět: |
TheoryofComputation_MISCELLANEOUS
Organizational Behavior and Human Resource Management Economics and Econometrics Treasury Spanish auctions discriminatory auctions uniform auctions multi-unit demand common values experimental economics jel:D44 jel:H63 jel:E42 Microeconomics 0502 economics and business Economics Revenue Common value auction 050207 economics ComputingMilieux_MISCELLANEOUS 050205 econometrics jel:C92 Government Bond 05 social sciences TheoryofComputation_GENERAL Experimental economics jel:E58 Treasury Price dispersion Business Volatility (finance) |
| Zdroj: | Journal of Economic Behavior and Organization Journal of Economic Behavior and Organization, Elsevier, 2008, pp.284-303 |
| ISSN: | 0167-2681 |
| Popis: | The Bank of Spain uses a unique auction format to sell government bonds, which can be seen as a hybrid of a uniform and a discriminatory auction. For winning bids above the average winning bid, buyers are charged the average winning bid, otherwise they pay their respective bids. We report on an experiment that compares this auction format to the discriminatory format, used in most other countries, and to the uniform format. Our design is based on a common value model with multi-unit supply and two-unit demand. The results show significantly higher revenue with the Spanish and the uniform formats than with the discriminatory one, while volatility of prices over time is significantly lower in the discriminatory format than in the Spanish and uniform cases. Actual price dispersion is significantly larger in the discriminatory than in the Spanish. Our data also exhibit the use of bid-spreading strategies in all three designs. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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