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

Eduardo Anthony G. Marino and Daniel Marszalec
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Eduardo Anthony G. Marino: Asset Management Service, Bureau of the Treasury, Republic of the Philippines

No CIRJE-F-1138, CIRJE F-Series from CIRJE, Faculty of Economics, 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.

Pages: 41 pages
Date: 2020-01
New Economics Papers: this item is included in nep-des and nep-sea
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2020cf1138

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