Multiagent System Simulations of Treasury Auctions

Alan Mehlenbacher ()
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Alan Mehlenbacher: Department of Economics, University of Victoria, https://www.uvic.ca/socialsciences/economics/

No 709, Department Discussion Papers from Department of Economics, University of Victoria

Abstract: This study uses a multiagent system to determine which payment rule provides the most revenue in Treasury auctions that are based on Canadian rules. The model encompasses the when-issued, auction, and secondary markets, as well as constraints for primary dealers. I find that the Spanish payment rule is revenue inferior to the Discriminatory payment rule across all market price spreads, but the Average rule is revenue superior. For most market-price spreads, Uniform payment results in less revenue than Discriminatory, but there are many cases in which Vickrey payment produces more revenue.

Keywords: Axiomatic bargaining; resource monotonicity; transferable utility; risk aversion; Agent-based computational economics; treasury auctions; auction context (search for similar items in EconPapers)
JEL-codes: C15 C72 D83 (search for similar items in EconPapers)
Pages: 69 pages
Date: 2007-11-19
New Economics Papers: this item is included in nep-cmp, nep-gth and nep-upt
Note: ISSN 1914-2838
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:vic:vicddp:0709

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