Treasury auctions in Spain: a linear approach

The majority of Treasuries use discriminatory auctions to sell government debt. A few Treasuries use uniform auctions. The Spanish Treasury is the only one that uses a hybrid format of discriminatory and uniform auctions. All Treasury auctions are multiple-unit multiple-bid auctions, usually assumed...

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Bibliographic Details
Published in:Spanish economic review 2003-03, Vol.5 (1), p.25-48
Main Authors: lvarez, Francisco, Maz n, Cristina, Cerd, Emilio
Format: Article
Language:English
Subjects:
Auctions
Bids
Central banks
Competition
Deficit financing
Discrimination
Economics
Expected values
Government policy
Public debt
Spain
Statistical analysis
Treasuries
Treasury
Value
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Summary:The majority of Treasuries use discriminatory auctions to sell government debt. A few Treasuries use uniform auctions. The Spanish Treasury is the only one that uses a hybrid format of discriminatory and uniform auctions. All Treasury auctions are multiple-unit multiple-bid auctions, usually assumed to be common and unknown value auctions. Taking in account these features, we analyze the Spanish auction format, taking a linear approximation to bidders' multiple bids, and characterize a parameter set in which the Spanish format gives higher expected seller's revenue than discriminatory and uniform auctions. Policy implications are obtained by calibrating theoretical results with data.
ISSN:1435-5469
1435-5477
DOI:10.1007/s101080300061