Bid Shading and Bidder Surplus in the US Treasury Auction System

• 成果类型: Article
• 署名作者: Hortacsu, Ali; Kastl, Jakub; Zhang, Allen
• 署名单位: University of Chicago; Princeton University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Federal National Mortgage Association (Fannie Mae)
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• 发表日期: 2018
• 页码: 147-169
• 关键词: divisible good auctions; equilibria; revenue; MARKET

摘要

We analyze bidding data from uniform price auctions of US Treasury bills and notes between July 2009 and 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 US 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 three basis points across the sample period along with efficiency losses around two basis points. (JEL D44, E63, H63)