Competition in treasury auctions

Helmut Elsinger, Philipp Schmidt-Dengler and Christine Zulehner

No 127, SAFE Working Paper Series from Leibniz Institute for Financial Research SAFE

Abstract: We investigate the role of competition on the outcome of Austrian Treasury auctions. Austria's EU accession led to an increase in the number of banks participating in treasury auctions. We use structural estimates of bidders' private values to examine the effect of increased competition on auction performance: We find that increased competition reduced bidder surplus substantially, but less than reduced form estimates would suggest. A significant component of the surplus reduction is due to more aggressive bidding. Counterfactuals establish that as competition increases, concerns regarding auction format play a smaller role.

Keywords: treasury auctions; multi-unit auctions; independent private values; competition; bidder surplus; auction format (search for similar items in EconPapers)
JEL-codes: D44 G12 G21 L10 L13 (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-bec and nep-com
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https://www.econstor.eu/bitstream/10419/129063/1/848868161.pdf (application/pdf)

Related works:
Journal Article: Competition in Treasury Auctions (2019)
Working Paper: Competition in Treasury Auctions (2016)
Working Paper: Competition in Treasury Auctions (2016)
Working Paper: Competition in Treasury Auctions (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:safewp:127

DOI: 10.2139/ssrn.2738381

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