Estimation and comparison of treasury auction formats when bidders are asymmetric
The structural parameters of a share-auction model accounting for asymmetries across bidders, as well as supply uncertainty, are estimated with a sample of French Treasury auctions. We find evidence of both informational and risk aversion asymmetries across bidders. A counter-factual analysis also s...
Gespeichert in:
| Veröffentlicht in: | Journal of applied econometrics (Chichester, England) England), 2006-09, Vol.21 (6), p.745-779 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 779 |
|---|---|
| container_issue | 6 |
| container_start_page | 745 |
| container_title | Journal of applied econometrics (Chichester, England) |
| container_volume | 21 |
| creator | Armantier, Olivier SbaÏ, Erwann |
| description | The structural parameters of a share-auction model accounting for asymmetries across bidders, as well as supply uncertainty, are estimated with a sample of French Treasury auctions. We find evidence of both informational and risk aversion asymmetries across bidders. A counter-factual analysis also suggests that, in the context of the French Treasury auctions, a shift from the discriminatory to the uniform-price format would simultaneously benefit the French Treasury and the auctions' participants. |
| doi_str_mv | 10.1002/jae.875 |
| format | Article |
| fullrecord | <record><control><sourceid>jstor_proqu</sourceid><recordid>TN_cdi_proquest_miscellaneous_36471020</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><jstor_id>25146462</jstor_id><sourcerecordid>25146462</sourcerecordid><originalsourceid>FETCH-LOGICAL-c5715-efecd8bad2060a201e4a56e0da06a0bae08db0038bf2897b6237a2ee84c120183</originalsourceid><addsrcrecordid>eNqF0d1L3EAQAPBFFDzP4l9QCD7oQ4md3WSzm8fjOLV69ANa-7hMkgnmvGTP3QSb_75rIz4IxadhmB_DfDB2wuGCA4jPG6QLreQem3HI85gLKffZDLROYiWkOGRH3m8AIANQM_Zj5fumxb6xXYRdFZW23aFrfEhtHfWO0A9ujHAo_5HauoB99HRPXVQ0VUXOR-goQj-2LfWuKY_ZQY1bTx9e4pz9ulz9XF7H629XX5aLdVxKxWVMNZWVLrASYRIUwClFmRFUCBlCgQS6KgASXdRC56rIRKJQEOm05EHrZM7Opr47Zx8H8r1pG1_Sdosd2cGbJEsVBwHvQp4rmSvNAzx9Azd2cF1YwggeTprnMg3ofEKls947qs3OhQO60XAwzw8w4QEm6CA_TfKp2dL4P2ZuFqtJf5z0xvfWvWoheZqlYfk5i6d643v681pH92AylYQ-v79emUwDv735npq75C-9dp7p</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>218759954</pqid></control><display><type>article</type><title>Estimation and comparison of treasury auction formats when bidders are asymmetric</title><source>Access via Wiley Online Library</source><source>JSTOR Archive Collection A-Z Listing</source><creator>Armantier, Olivier ; SbaÏ, Erwann</creator><creatorcontrib>Armantier, Olivier ; SbaÏ, Erwann</creatorcontrib><description>The structural parameters of a share-auction model accounting for asymmetries across bidders, as well as supply uncertainty, are estimated with a sample of French Treasury auctions. We find evidence of both informational and risk aversion asymmetries across bidders. A counter-factual analysis also suggests that, in the context of the French Treasury auctions, a shift from the discriminatory to the uniform-price format would simultaneously benefit the French Treasury and the auctions' participants.</description><identifier>ISSN: 0883-7252</identifier><identifier>EISSN: 1099-1255</identifier><identifier>DOI: 10.1002/jae.875</identifier><identifier>CODEN: JAECET</identifier><language>eng</language><publisher>Chichester, UK: John Wiley & Sons, Ltd</publisher><subject>Approximation ; Auctions ; Banks ; Bid price ; Bidding ; Economic models ; Estimating techniques ; Estimation ; France ; Government bonds ; Market theory ; Modeling ; Monetary economics ; Money market ; Parametric models ; Price formation ; Revenue ; Risk aversion ; Security prices ; Standard deviation ; Studies ; Treasuries ; Uncertainty</subject><ispartof>Journal of applied econometrics (Chichester, England), 2006-09, Vol.21 (6), p.745-779</ispartof><rights>Copyright 2006 John Wiley & Sons, Ltd.</rights><rights>Copyright © 2006 John Wiley & Sons, Ltd.</rights><rights>Copyright Wiley Periodicals Inc. Sep/Oct 2006</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c5715-efecd8bad2060a201e4a56e0da06a0bae08db0038bf2897b6237a2ee84c120183</citedby><cites>FETCH-LOGICAL-c5715-efecd8bad2060a201e4a56e0da06a0bae08db0038bf2897b6237a2ee84c120183</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.jstor.org/stable/pdf/25146462$$EPDF$$P50$$Gjstor$$H</linktopdf><linktohtml>$$Uhttps://www.jstor.org/stable/25146462$$EHTML$$P50$$Gjstor$$H</linktohtml><link.rule.ids>314,780,784,803,1417,27924,27925,45574,45575,58017,58250</link.rule.ids></links><search><creatorcontrib>Armantier, Olivier</creatorcontrib><creatorcontrib>SbaÏ, Erwann</creatorcontrib><title>Estimation and comparison of treasury auction formats when bidders are asymmetric</title><title>Journal of applied econometrics (Chichester, England)</title><addtitle>J. Appl. Econ</addtitle><description>The structural parameters of a share-auction model accounting for asymmetries across bidders, as well as supply uncertainty, are estimated with a sample of French Treasury auctions. We find evidence of both informational and risk aversion asymmetries across bidders. A counter-factual analysis also suggests that, in the context of the French Treasury auctions, a shift from the discriminatory to the uniform-price format would simultaneously benefit the French Treasury and the auctions' participants.</description><subject>Approximation</subject><subject>Auctions</subject><subject>Banks</subject><subject>Bid price</subject><subject>Bidding</subject><subject>Economic models</subject><subject>Estimating techniques</subject><subject>Estimation</subject><subject>France</subject><subject>Government bonds</subject><subject>Market theory</subject><subject>Modeling</subject><subject>Monetary economics</subject><subject>Money market</subject><subject>Parametric models</subject><subject>Price formation</subject><subject>Revenue</subject><subject>Risk aversion</subject><subject>Security prices</subject><subject>Standard deviation</subject><subject>Studies</subject><subject>Treasuries</subject><subject>Uncertainty</subject><issn>0883-7252</issn><issn>1099-1255</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2006</creationdate><recordtype>article</recordtype><recordid>eNqF0d1L3EAQAPBFFDzP4l9QCD7oQ4md3WSzm8fjOLV69ANa-7hMkgnmvGTP3QSb_75rIz4IxadhmB_DfDB2wuGCA4jPG6QLreQem3HI85gLKffZDLROYiWkOGRH3m8AIANQM_Zj5fumxb6xXYRdFZW23aFrfEhtHfWO0A9ujHAo_5HauoB99HRPXVQ0VUXOR-goQj-2LfWuKY_ZQY1bTx9e4pz9ulz9XF7H629XX5aLdVxKxWVMNZWVLrASYRIUwClFmRFUCBlCgQS6KgASXdRC56rIRKJQEOm05EHrZM7Opr47Zx8H8r1pG1_Sdosd2cGbJEsVBwHvQp4rmSvNAzx9Azd2cF1YwggeTprnMg3ofEKls947qs3OhQO60XAwzw8w4QEm6CA_TfKp2dL4P2ZuFqtJf5z0xvfWvWoheZqlYfk5i6d643v681pH92AylYQ-v79emUwDv735npq75C-9dp7p</recordid><startdate>200609</startdate><enddate>200609</enddate><creator>Armantier, Olivier</creator><creator>SbaÏ, Erwann</creator><general>John Wiley & Sons, Ltd</general><general>John Wiley & Sons</general><general>Wiley Periodicals Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope><scope>JQ2</scope><scope>7U1</scope><scope>7U2</scope><scope>C1K</scope></search><sort><creationdate>200609</creationdate><title>Estimation and comparison of treasury auction formats when bidders are asymmetric</title><author>Armantier, Olivier ; SbaÏ, Erwann</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c5715-efecd8bad2060a201e4a56e0da06a0bae08db0038bf2897b6237a2ee84c120183</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2006</creationdate><topic>Approximation</topic><topic>Auctions</topic><topic>Banks</topic><topic>Bid price</topic><topic>Bidding</topic><topic>Economic models</topic><topic>Estimating techniques</topic><topic>Estimation</topic><topic>France</topic><topic>Government bonds</topic><topic>Market theory</topic><topic>Modeling</topic><topic>Monetary economics</topic><topic>Money market</topic><topic>Parametric models</topic><topic>Price formation</topic><topic>Revenue</topic><topic>Risk aversion</topic><topic>Security prices</topic><topic>Standard deviation</topic><topic>Studies</topic><topic>Treasuries</topic><topic>Uncertainty</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Armantier, Olivier</creatorcontrib><creatorcontrib>SbaÏ, Erwann</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><collection>ProQuest Computer Science Collection</collection><collection>Risk Abstracts</collection><collection>Safety Science and Risk</collection><collection>Environmental Sciences and Pollution Management</collection><jtitle>Journal of applied econometrics (Chichester, England)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Armantier, Olivier</au><au>SbaÏ, Erwann</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Estimation and comparison of treasury auction formats when bidders are asymmetric</atitle><jtitle>Journal of applied econometrics (Chichester, England)</jtitle><addtitle>J. Appl. Econ</addtitle><date>2006-09</date><risdate>2006</risdate><volume>21</volume><issue>6</issue><spage>745</spage><epage>779</epage><pages>745-779</pages><issn>0883-7252</issn><eissn>1099-1255</eissn><coden>JAECET</coden><abstract>The structural parameters of a share-auction model accounting for asymmetries across bidders, as well as supply uncertainty, are estimated with a sample of French Treasury auctions. We find evidence of both informational and risk aversion asymmetries across bidders. A counter-factual analysis also suggests that, in the context of the French Treasury auctions, a shift from the discriminatory to the uniform-price format would simultaneously benefit the French Treasury and the auctions' participants.</abstract><cop>Chichester, UK</cop><pub>John Wiley & Sons, Ltd</pub><doi>10.1002/jae.875</doi><tpages>35</tpages><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0883-7252 |
| ispartof | Journal of applied econometrics (Chichester, England), 2006-09, Vol.21 (6), p.745-779 |
| issn | 0883-7252 1099-1255 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_36471020 |
| source | Access via Wiley Online Library; JSTOR Archive Collection A-Z Listing |
| subjects | Approximation Auctions Banks Bid price Bidding Economic models Estimating techniques Estimation France Government bonds Market theory Modeling Monetary economics Money market Parametric models Price formation Revenue Risk aversion Security prices Standard deviation Studies Treasuries Uncertainty |
| title | Estimation and comparison of treasury auction formats when bidders are asymmetric |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-22T03%3A19%3A51IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-jstor_proqu&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Estimation%20and%20comparison%20of%20treasury%20auction%20formats%20when%20bidders%20are%20asymmetric&rft.jtitle=Journal%20of%20applied%20econometrics%20(Chichester,%20England)&rft.au=Armantier,%20Olivier&rft.date=2006-09&rft.volume=21&rft.issue=6&rft.spage=745&rft.epage=779&rft.pages=745-779&rft.issn=0883-7252&rft.eissn=1099-1255&rft.coden=JAECET&rft_id=info:doi/10.1002/jae.875&rft_dat=%3Cjstor_proqu%3E25146462%3C/jstor_proqu%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=218759954&rft_id=info:pmid/&rft_jstor_id=25146462&rfr_iscdi=true |