Comparison of Alternative Payment Mechanisms for French Treasury Auctions

Olivier Armantier and Erwann Sbai

Annals of Economics and Statistics, 2009, issue 93-94, 109-133

Abstract: Treasury auctions around the world have been typically conducted under either the uniform-price or discriminatory format. We propose alternative payment mechanisms including the uniform-price and discriminatory formats as special cases. We compare the properties of these alternative formats in the specific context of French Treasury auctions. Our results indicate that a new payment mechanism, named the "kth-average-price" auction, dominates all other formats in terms of the revenues it would raise for the French Treasury. The so-called "Spanish auction" however, is found to generate the most stable stream of revenues from one auction to the next.

Date: 2009
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:2009:i:93-94:p:109-133

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