Treasury actions: The Spanish format

Francisco Alvarez Gonzalez () and Cristina Mazón ()
Additional contact information
Cristina Mazón: Departamento de Economía Cuantitativa,Universidad Complutense de Madrid, https://www.ucm.es/fundamentos-analisis-economico2/mazon-calpena,-cristina

Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

Abstract: The Spanish Treasury is the only Treasury in the world that uses a hybrid system of discriminatory and uniform price auctions to sell government debt: winning bidders pay their bid price for each unit if this is lower than the weighted average price of winning bids, and pay the weighted average price of winning bids otherwise. Following Gordy (1996), we model the Spanish auction as a common value auction of multiple units with private information, allowing for multiple bids. Simulations show that bidders use bid spread to hedge against both uncertainty and the winner's curse, and that the expected seller's revenue is higher in the Spanish than in the discriminatory auction in a number of cases.

Keywords: Subastas; Subastas del Tesoro; Subasta española; Subastas de múltiples unidades; Auctions; Treasury auctions; Spanish auction; Multi-unit auctions. (search for similar items in EconPapers)
JEL-codes: D44 (search for similar items in EconPapers)
Pages: pages 20
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://eprints.ucm.es/id/eprint/25587/1/0228.pdf (application/pdf)

Related works:
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:ucm:doicae:0228

Ordering information: This working paper can be ordered from
Facultad de Ciencias Económicas y Empresariales. Pabellón prefabricado, 1ª Planta, ala norte. Campus de Somosaguas, 28223 - POZUELO DE ALARCÓN (MADRID)
https://www.ucm.es/f ... -de-trabajo-del-icae

Access Statistics for this paper

More papers in Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Contact information at EDIRC.
Bibliographic data for series maintained by Águeda González Abad ().