Underwriting Government Debt Auctions: Auction Choice and Information Production

• 成果类型: Article
• 署名作者: Gupta, Sudip; Sundaram, Rangarajan K.; Sundaresan, Suresh
• 署名单位: Fordham University; New York University; Columbia University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2019.3565
• 发表日期: 2021
• 页码: 3127-3149
• 关键词: Auctions; Underwriting; bid shading; devolvement; Information production

摘要

In this paper, we examine a novel two-stage mechanism for selling government securities, wherein the dealers underwrite in the first stage the sale of securities, which are auctioned in stage 2 via either a discriminatory auction (DA) or a uniform price auction (UPA). Using proprietary data on auctions during 2006-2013, we find that (a) the first stage underwriting auction generates significant information, including predicting the likelihood of devolvement, and bid shading, and (b) the outcome of the underwriting auction may generate enough asymmetry amongst bidders that may make DA dominate UPA in certain counterfactual situations. We document that the unique two-stage auction design provides a market-driven mechanism to simultaneously insure against auction failures and produce information about the quality of the underlying issue.