| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3574 |
| DP3574 A Small Estimated Euro Area Model with Rational Expectations and Nominal Rigidities | |
| Günter Coenen; Volker Wieland | |
| 发表日期 | 2002-10-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | We study uniform price auctions using a dataset that includes individual bidders' demand schedules in Finnish Treasury auctions during the period 1992-99. Average underpricing amounts to 0.041% of face value. Theory suggests that underpricing may result from monopsonistic market power. We develop and test robust implications from this theory and find that it has little support in the data. For example, bidders' individual demand functions do not respond to increased competition in the manner predicted by the theory. We also present evidence that the Finnish Treasury acts strategically, taking into account the fact that the auctions are part of a repeated game between the Treasury and the primary dealers. Empirically, the main driver behind bidder behaviour and underpricing is the volatility of bond returns. Since there is no evidence that bidders are risk averse, this suggests that private information and the winner's curse may play an important role in these auctions. |
| 主题 | Financial Economics |
| 关键词 | Multiunit auctions Uniform price Treasury auctions market power Demand functions Underpricing Supply uncertainty Seller behaviour |
| URL | https://cepr.org/publications/dp3574 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532581 |
| 推荐引用方式 GB/T 7714 | Günter Coenen,Volker Wieland. DP3574 A Small Estimated Euro Area Model with Rational Expectations and Nominal Rigidities. 2002. |
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