The impact of auction choice on revenue in treasury bill auctions – An empirical evaluation

Daniel Marszalec

International Journal of Industrial Organization, 2017, vol. 53, issue C, 215-239

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, Hortaçsu and McAdams (2010) and Fevrier et al. (2002), to a dataset on Polish zero-coupon bonds. My secondary aim is to analyze mutual inconsistencies in prediction from these models. I find 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 confidence that the conclusions on Polish data are robust to varying many of the underlying economic and econometric assumptions, and not likely just a modeling artifact.

Keywords: Auctions; Treasury Bills; Divisible Goods; Structural Estimation (search for similar items in EconPapers)
JEL-codes: C57 D44 G23 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (18)

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Working Paper: The Impact of Auction Choice on Revenue in Treasury Bill Auctions - An Empirical Evaluation (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:indorg:v:53:y:2017:i:c:p:215-239

DOI: 10.1016/j.ijindorg.2017.05.005

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