Econometric Analysis of Market Bid Functions in French Treasury Bill Auctions

Raphaële Préget () and Patrick Waelbroeck

Papiers d'Economie Mathématique et Applications from Université Panthéon-Sorbonne (Paris 1)

Abstract: This econometric study analyzes market bid functions for French Treasury Bills. We use the results of 125 discriminatory bill auctions during 1995 to determine the factors that affect the shape of the aggregate demand functions. We proceed in two step, we estimate the parameters of a logistic specification. In the second step, we explain fluctuations of the values of the parameters obtained in the previous step from one auction to the other by economic variables and show that these fluctuations can not be considered as purely random.

Keywords: AUCTIONS; DEMAND; ECONOMETRICS; DISCRIMINATION (search for similar items in EconPapers)
JEL-codes: C31 C51 D44 G18 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2000
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:fth:pariem:2000.106

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