Bidding Behavior in Austrian Treasury Bond Auctions
Bidding Behavior in Austrian Treasury Bond Auctions
复制标题
奥地利国债拍卖中的投标行为
DOI：
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发表时间：
2007
期刊：
影响因子：
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通讯作者：
Christine Zulehner
中科院分区：
文献类型：
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作者：
Helmut Elsinger;Christine Zulehner
拍卖发行国债是世界各国普遍采用的一种发行方式。各国采用的拍卖机制各不相同。由于我们对国债拍卖中投标人行为的理解仍然相当有限，因此选择哪种拍卖机制的问题仍然没有得到解决也就不足为奇了。在这项研究中，我们分析了奥地利国债拍卖的投标行为，使用的数据集，其中包含每个投标人提交的所有投标，以及137奥地利国债拍卖的结果，从1991年2月至2006年5月。债券拍卖中的竞标者有多种手段来应对不断变化的市场条件：他们可能会改变出价阴影的程度、国债需求的数量以及出价的分散程度。本文旨在研究投标人如何调整他们的策略，以不同的不确定性，在债券市场上，不同数量的参与投标人和债券发行量的变化。
To issue Treasury securities by auctions is a common method in many countries all over the world. The auction mechanisms used vary across countries. As our understanding of bidder behavior in Treasury auctions is still rather limited it is not surprising that the question which auction mechanism should be chosen is still unresolved. In this study, we analyze the bidding behavior in Austrian Treasury bond auctions, using a dataset which contains all bids submitted by each bidder as well as the results of 137 Austrian Treasury auctions from February 1991 to May 2006. Bidders in bond auctions have various means to react to changing market conditions: They may change the degree of bid shading, the quantity of Treasury bonds demanded and the dispersion of their bids. This paper aims to investigate how bidders adjust their strategies to varying uncertainty in the bond market, to different numbers of participating bidders and to changes in the volume of bond issues.