Estimation and comparison of treasury auction formats when bidders are asymmetric

Erwann SbaÏ and Olivier Armantier
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Erwann SbaÏ: Department of Economics, Commerce A Building, The University of Auckland, Private Bag 92019, Auckland, New Zealand, Postal: Department of Economics, Commerce A Building, The University of Auckland, Private Bag 92019, Auckland, New Zealand

Journal of Applied Econometrics, 2006, vol. 21, issue 6, pages 745-779

Abstract: The structural parameters of a share-auction model accounting for asymmetries across bidders, as well as supply uncertainty, are estimated with a sample of French Treasury auctions. We find evidence of both informational and risk aversion asymmetries across bidders. A counter-factual analysis also suggests that, in the context of the French Treasury auctions, a shift from the discriminatory to the uniform-price format would simultaneously benefit the French Treasury and the auctions' participants. Copyright © 2006 John Wiley & Sons, Ltd.

Date: 2006
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