On the Optimality of Treasury Bond Auctions: The Spanish Case

Cristina Mazón and Soledad Núñez

Working Papers from Banco de España

Abstract: This paper explores Spanish Treasury bond auctions both from a theoretical and an empirical perspective. In the theoretical analysis we present a model to explore the revenue efficiency of Spanish Treasury bond auctions. Given the complexity of the Spanish auction game, the model abstracts from many features of the market, but it captures the two distinctive features of the Spanish auction: the format used and the uncertainty about the amount to be issued. The main result is that there exists for the Spanish auction format a pure strategy Nash equilibrium that maximizes the seller's revenue, which is unique in the sense that each of the equilibria gives the same utility to all players. This result suggests that both the discriminatory and the Spanish auction format behave in a similar way in the model proposed.

Pages: 46 pages
Date: 1999
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:9905

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