Auctions for Government Securities: A Laboratory Comparison of Uniform, Discriminatory and Spanish Designs

Klaus Abbink, Jordi Brandts and Paul Pezanis-Christou

UFAE and IAE Working Papers from Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)

Abstract: The Bank of Spain uses a unique auction format to sell government bonds, which can be seen as a hybrid of a uniform and a discriminatory auction. For winning bids above the average winning bid, buyers are charged the average winning bid, otherwise they pay their respective bids. We report on an experiment that compares this auction format to the discriminatory format, used in most other countries, and to the uniform format. Our design is based on a common value model with multi-unit supply and two-unit demand. The results show significantly higher revenue with the Spanish and the uniform formats than with the discriminatory one, while volatility of prices over time is significantly lower in the discriminatory format than in the Spanish and uniform cases. Actual price dispersion is significantly larger in the discriminatory than in the Spanish. Our data also exhibit the use of bid-spreading strategies in all three designs.

Keywords: Treasury; Spanish auctions; discriminatory auctions; uniform auctions; multi-unit demand; common values; experimental economics (search for similar items in EconPapers)
JEL-codes: C92 D44 E42 E58 H63 (search for similar items in EconPapers)
Pages: 22
Date: 2002-11-01
New Economics Papers: this item is included in nep-pbe
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://pareto.uab.es/wp/2002/55102.pdf (application/pdf)

Related works:
Working Paper: Auctions for government securities: A laboratory comparison of uniform, discriminatory and Spanish designs (2008)
Journal Article: Auctions for government securities: A laboratory comparison of uniform, discriminatory and Spanish designs (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aub:autbar:551.02

Access Statistics for this paper

More papers in UFAE and IAE Working Papers from Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) Contact information at EDIRC.
Bibliographic data for series maintained by Xavier Vila ().