원문정보
초록
영어
We compare auction revenues from discriminatory auctions and uniform price auctions in the case of the Korean treasury bonds reverse auction market. For this purpose, we employ detailed bidder level data for each of discriminatory reverse auctions (repurchase of Treasury bonds through competitive bidding) recently carried out in Korea. We first theoretically recover unobserved individual bidding functions under counter-factual uniform price auctions from the observed bidding functions under the actual discriminatory auctions, and then empirically estimate revenue differences. To test significance of the auction revenue differences, we use Bootstrap re-sampling methods where uncertainty in the cut-off yield spreads and uncertainty in the bidders are addressed individually as well as simultaneously. Our results indicate that discriminatory price auction increases the auction revenue relative to the uniform price auction in most of the reverse auction cases.
목차
1. Introduction
2. Literature Review
3. Theoretical Model
3.1. Basics
3.2. Discriminatory price auction
3.3 Uniform price auction
3.4 Recovering uniform price bidding from discriminatory price bidding
4. Data, Econometric Model
5. Results
6. Concluding Remarks
References