Bid Shading and Bidder Surplus in the US Treasury Auction System
Jakub Kastl and
American Economic Review, 2018, vol. 108, issue 1, 147-69
We analyze bidding data from uniform price auctions of US Treasury bills and notes between July 2009 and October 2013. Primary dealers consistently bid higher yields compared to direct and indirect bidders. We estimate a structural model of bidding that takes into account informational asymmetries introduced by the bidding system employed by the US Treasury. While primary dealers' estimated willingness-to-pay is higher than direct and indirect bidders', their ability to bid-shade is even higher, leading to higher yield/lower price bids. Total bidder surplus averaged to about three basis points across the sample period along with efficiency losses around two basis points.
JEL-codes: D44 E63 H63 (search for similar items in EconPapers)
Note: DOI: 10.1257/aer.20160675
References: Add references at CitEc
Citations Track citations by RSS feed
Downloads: (external link)
https://www.aeaweb.org/articles/attachments?retrie ... SmdzH7TlGMdH0mRbRrGm (application/zip)
https://www.aeaweb.org/articles/attachments?retrie ... -pDgb8pP8At9PxrLDP9X (application/zip)
Access to full text is restricted to AEA members and institutional subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:aea:aecrev:v:108:y:2018:i:1:p:147-69
Ordering information: This journal article can be ordered from
Access Statistics for this article
American Economic Review is currently edited by Pinelopi Koujianou Goldberg
More articles in American Economic Review from American Economic Association Contact information at EDIRC.
Series data maintained by Jane Voros ().