Sovereign debt auctions: Uniform or discriminatory?

• 成果类型: Article
• 署名作者: Brenner, Menachem; Galai, Dan; Sade, Orly
• 署名单位: New York University; Hebrew University of Jerusalem
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2008.12.012
• 发表日期: 2009
• 页码: 267-274
• 关键词: Uniform auction; Discriminatory auction; Treasury bonds; T-bills

摘要

Many financial assets, especially government bonds, are issued by an auction. All important feature of the design is the auction pricing mechanism: uniform versus discriminatory. Theoretical papers do not provide a definite answer regarding the dominance of one type of auction over the other. We investigate the revealed preferences of the issuers by surveying the sovereign issuers that conduct auctions. We find that the majority of the issuers/countries in our sample use a discriminatory auction mechanism for issuing government debt. We use a multinomial logit procedure and discriminatory analysis to investigate the mechanism choice. It was interesting to find that market-oriented economies and those that practice common law tend to use a uniform method while economies who are less market oriented and practice civil law tend to use discriminatory price auctions. (C) 2009 Elsevier B.V. All rights reserved.