A Walrasian Theory of Sovereign Debt Auctions with Asymmetric Information
A Walrasian Theory of Sovereign Debt Auctions with Asymmetric Information
复制标题
信息不对称的瓦尔拉斯主权债务拍卖理论
DOI：
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发表时间：
2017
期刊：
影响因子：
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通讯作者：
Guillermo Ordoñez
中科院分区：
文献类型：
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作者：
Harold L. Cole;Daniel Neuhann;Guillermo Ordoñez
主权债券是高度可分割的，通常质量不确定，并大量拍卖给大量投资者。这就导致我们假设没有一个投标人能够影响债券价格，并发展出一个易于处理的瓦尔拉斯国债拍卖理论，在这个理论中，投资者对债券质量的了解是不对称的。我们的特点债券的价格为不同程度的不对称信息，无论是歧视价格（DP）和统一价格（UP）协议。我们内生化信息采集和DP协议可能会导致多个均衡，其中之一的功能不对称信息，而UP协议是不可能维持不对称信息的均衡。这一结果有福利的影响：信息不对称的负面影响的水平，分散和波动的主权债券价格，特别是在DP协议。
Sovereign bonds are highly divisible, usually of uncertain quality, and auctioned in large lots to a large number of investors. This leads us to assume that no individual bidder can affect the bond price, and to develop a tractable Walrasian theory of Treasury auctions in which investors are asymmetrically informed about the quality of the bond. We characterize the price of the bond for different degrees of asymmetric information, both under discriminatory-price (DP) and uniform-price (UP) protocols. We endogenize information acquisition and show that DP protocols are likely to induce multiple equilibria, one of which features asymmetric information, while UP protocols are unlikely to sustain equilibria with asymmetric information. This result has welfare implications: asymmetric information negatively affects the level, dispersion and volatility of sovereign bond prices, particularly in DP protocols.