| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24024 |
| 来源ID | Working Paper 24024 |
| Bid Shading and Bidder Surplus in the U.S. Treasury Auction System | |
| Ali Hortaçsu; Jakub Kastl; Allen Zhang | |
| 发表日期 | 2017-11-20 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We analyze bidding data from uniform price auctions of U.S. Treasury bills and notes between July 2009-October 2013. Primary dealers consistently bid higher yields compared to direct and indirect bidders. We estimate a structural model of bidding that takes into account informational asymmetries introduced by the bidding system employed by the U.S. Treasury. While primary dealers’ estimated willingness-to-pay is higher than direct and indirect bidders’, their ability to bid-shade is even higher, leading to higher yield/lower price bids. Total bidder surplus averaged to about 3 basis points across the sample period along with efficiency losses around 2 basis points. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Industrial Organization ; Market Structure and Firm Performance |
| URL | https://www.nber.org/papers/w24024 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581698 |
| 推荐引用方式 GB/T 7714 | Ali Hortaçsu,Jakub Kastl,Allen Zhang. Bid Shading and Bidder Surplus in the U.S. Treasury Auction System. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24024.pdf（450KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
