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.

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Metadaten
Author:Helmut Elsinger, Philipp Schmidt-Dengler, Christine Zulehner
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 series (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:Universit├Ątsbibliothek 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:Universit├Ątspublikationen
Licence (German):License LogoDeutsches Urheberrecht