The Impact of Auction Choice on Revenue in Treasury Bill Auctions - An Empirical Evaluation

Daniel Marszalec

No CIRJE-F-1020, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: I evaluate whether uniform price or discriminatory auctions are revenue-superior for selling Treasury bills. To this end, I apply two structural econometric models, Hortacsu and McAdams (2010) and Fevrier, Preget and Visser (2002), to a dataset on Polish zerocoupon bonds. My secondary aim is to analyze mutual inconsistencies in prediction from these models. I nd that both agree on the revenue-superiority of discriminatory auctions, by between 0.01% and 1.5%; the models' predictions are contradictory in only 7% of auctions. The large-scale agreement of two vastly different models gives　condence that the conclusions are data-driven, and not a modeling artifact.

Pages: 35 pages
Date: 2016-08
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Citations: View citations in EconPapers (9)

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Related works:
Journal Article: The impact of auction choice on revenue in treasury bill auctions – An empirical evaluation (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2016cf1020

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