| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24890 |
| 来源ID | Working Paper 24890 |
| A Walrasian Theory of Sovereign Debt Auctions with Asymmetric Information | |
| Harold Cole; Daniel Neuhann; Guillermo Ordoñez | |
| 发表日期 | 2018-08-06 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | How does investors' information about a country's fundamentals, and the fact that this information may be asymmetrically held, affect a country's financing cost? Motivated by this question, and by the observation that sovereign bonds are usually auctioned in large lots to a large number of potential investors, we develop a novel model of auctions with asymmetric information that relies on price-taking and rational expectations. We first characterize sovereign bond prices for different degrees of asymmetric information under two commonly-used protocols: discriminatory-price auctions and uniform-price auctions. We show that there is trade-off between these protocols if information is sufficiently asymmetric: expected bond yields are higher when pricing is discriminatory, but yield volatility is higher when pricing is uniform. We then study endogenous information acquisition and find that (i) discriminatory auctions may display multiple welfare-ranked informational equilibria, and (ii) investors are less likely to acquire information in uniform auctions. |
| 主题 | Microeconomics ; Market Structure and Distribution ; General Equilibrium ; Macroeconomics ; Money and Interest Rates ; Monetary Policy ; International Economics ; International Finance |
| URL | https://www.nber.org/papers/w24890 |
| 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/582563 |
| 推荐引用方式 GB/T 7714 | Harold Cole,Daniel Neuhann,Guillermo Ordoñez. A Walrasian Theory of Sovereign Debt Auctions with Asymmetric Information. 2018. |
| 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 | ||
| w24890.pdf（1004KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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