Estimation and Comparison of Treasury Auction Formats when Bidders are Asymmetric

Olivier Armantier () and Erwann Sbai

Department of Economics Working Papers from Stony Brook University, Department of Economics

Abstract: The structural parameters of a share-auction model accounting for asymmetry across bidders, as well as supply uncertainty are estimated with a sample of French Treasury auctions. We find evidence of both informational and risk aversion asymmetries between bidders. A counter-factual analysis also suggests that, in the context of the French Treasury auctions, a shift from the discriminatory to the uniform-price format would simultaneously benefit the French Treasury and the auction's participants.

Date: 2003
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Related works:
Journal Article: Estimation and comparison of treasury auction formats when bidders are asymmetric (2006)
Journal Article: Estimation and comparison of treasury auction formats when bidders are asymmetric (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:nys:sunysb:03-02

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