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Should the treasury price discriminate? : a procedure for computing hypothetical bid functions

Heller, Daniel and Lengwiler, Yvan. (2001) Should the treasury price discriminate? : a procedure for computing hypothetical bid functions. Journal of institutional and theoretical economics, 157 (3). pp. 413-429.

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Official URL: http://edoc.unibas.ch/dok/A5253747

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Abstract

Ever since Friedman (1959), it has been debated whether the Treasury should sell bonds in a uniform or in a discriminatory auction. Empirical research on this topic has been confined to experiments in which both auctions were used. But these experiments inherently contain an identification problem, since differences cannot be attributed to the auction format alone. We develop a method for generating counterfactual data on discriminatory auctions, using real data from uniform-price Treasury bond auctions in Switzerland. Our method allows us to investigate the performance of the two auctions without relying on experiments and without the identification problem.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Finanzmärkte (Lengwiler)
UniBasel Contributors:Lengwiler, Yvan
Item Type:Article, refereed
Article Subtype:Research Article
Bibsysno:Link to catalogue
Publisher:J. C. B. Mohr
ISSN:0932-4569
Note:Publication type according to Uni Basel Research Database: Journal article
Language:English
Identification Number:
Last Modified:28 Apr 2018 15:04
Deposited On:22 Mar 2012 14:03

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