Sovereign Debt Auctions: Theory and Empirics

摘要政府通过主权债务拍卖出售债券来满足部分预算需求。它们出售这些债券的价格，在决定它们为赤字融资的成本、它们实施货币政策的成本，甚至是它们成功应对宏观经济冲击的程度方面，都发挥着关键作用。这些拍卖通常有两种形式：统一价格拍卖（UP），所有竞标者为债券支付相同的价格；区别价格拍卖（DP），所有竞标者支付他们的出价。本项目将探讨债券价格的决定因素，以及这些价格对有关政府和宏观经济变量的现有信息的敏感性。该项目将进一步研究这些不同的拍卖协议如何影响政府收入、债务危机的可能性以及债券价格对不断变化的经济状况的影响。这项研究包括两个项目。第一个项目开发了一个易于处理的理论框架，以理解投资者在不同拍卖协议下的投标行为和信息选择。该项目揭示了当信息不对称时，这两种协议之间的理论相关权衡。一方面，UP拍卖允许政府为其债券获得更高的平均价格。另一方面，该协议增加了债券价格对需求冲击的敏感性。第二个项目是利用详细的拍卖数据，在同一国家的拍卖协议间歇性变化、主权利率经历高度动荡期和长期稳定期的情况下，探索该模型的可测试含义。该项目还将把这些数据数字化。该奖项反映了美国国家科学基金会的法定使命，并通过使用基金会的知识价值和更广泛的影响审查标准进行评估，被认为值得支持。

AbstractGovernments finance part of their budgetary needs by selling bonds through sovereign debt auctions. The price at which they can sell these bonds play a critical role in determining their cost of financing deficits, their implementation of monetary policy, and even the extent to which they can successfully navigate macroeconomic shocks. These auctions commonly come in two forms - uniform-price auctions (UP), in which all bidders pay the same price for the bonds and discriminatory-price auctions (DP) in which all bidders pay what they bid. This project will explore the determinants of bond prices and how sensitive those prices are to available information about governments and about macroeconomic variables. The project will further look at how these different auction protocols affect the revenue of governments as well as the likelihood of debt crises and the exposure of bond prices to changing economic conditions. This research consists of two projects. The first project develops a tractable theoretical framework to understand investors' bidding behavior and information choices in response to different auction protocols. The project uncovers a theoretically relevant trade-off between these two protocols when information is asymmetric. On the one hand, UP auctions allow governments to obtain an average higher price for its bonds. On the other hand, this protocol increases the sensitivity of bond prices to demand shocks. The second project consists on exploring the testable implications of the model utilizing detailed auction data in a setting where auction protocols have changed intermittently for the same country and sovereign interest rates went through periods of high turbulence and periods of prolonged stability. The project will also digitize this data.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.