Competition in treasury auctions
- 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.
Author: | Helmut Elsinger, Philipp Schmidt-Dengler, Christine Zulehner |
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URN: | urn:nbn:de:hebis:30:3-395804 |
URL: | http://ssrn.com/abstract=2738381 |
DOI: | https://doi.org/10.2139/ssrn.2738381 |
Parent Title (English): | SAFE working paper series ; No. 127 |
Series (Serial Number): | SAFE working paper (127) |
Publisher: | SAFE |
Place of publication: | Frankfurt am Main |
Document Type: | Working Paper |
Language: | English |
Year of Completion: | 2016 |
Year of first Publication: | 2016 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2016/04/12 |
Tag: | auction format; bidder surplus; competition; independent private values; multi-unit auctions; treasury auctions |
Issue: | February 2016 |
Page Number: | 35 |
HeBIS-PPN: | 381147037 |
Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF) | |
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE) | |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Sammlungen: | Universitätspublikationen |
Licence (German): | Deutsches Urheberrecht |