Sovereign Debt Auctions: Theory and Empirics

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、货币政策的实施，甚至它们能够在多大程度上成功应对宏观经济冲击方面发挥着关键作用。这些拍卖通常有两种形式-统一价格拍卖（UP），其中所有投标人为债券支付相同的价格，以及歧视价格拍卖（DP），其中所有投标人支付他们的出价。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程度。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以及债务危机的可能性和债券价格对不断变化的经济条件的影响。本研究包括两个项目。第一个项目发展了一个易于理解的理论框架，以理解投资者对不同拍卖协议的出价行为和信息选择。该项目揭示了一个理论上相关的权衡这两个协议时，信息是不对称的。一方面，UP拍卖使政府能够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，在同一个国家的拍卖协议间歇性变化，主权利率经历了高度动荡和长期稳定时期的情况下，探索模型的可测试影响。该奖项反映了NSF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.