Competition in Treasury Auctions

33 Pages Posted: 16 Dec 2015

See all articles by Helmut Elsinger

Helmut Elsinger

Austrian National Bank - Economic Studies Division

Philipp Schmidt-Dengler

University of Vienna - Faculty of Business, Economics, and Statistics

Christine Zulehner

University of Vienna - Faculty of Business, Economics, and Statistics; Télécom Paris; Austrian Institute of Economic Research (WIFO); Centre for Economic Policy Research (CEPR)

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Date Written: December 2015

Abstract

We investigate the role of competition on the outcome of Austrian Treasury auctions. Austria's EU accession led to an increase in the number of banks participating in treasury auctions. We use structural estimates of bidders' private values to examine the effect of increased competition on auction performance: We find that increased competition reduced bidder surplus substantially, but less than reduced form estimates would suggest. A significant component of the surplus reduction is due to more aggressive bidding. Counterfactuals establish that as competition increases, concerns regarding auction format play a smaller role.

Keywords: competition, multiunit auctions, structural estimation, treasury auctions

JEL Classification: D43, D44

Suggested Citation

Elsinger, Helmut and Schmidt-Dengler, Philipp and Zulehner, Christine, Competition in Treasury Auctions (December 2015). CEPR Discussion Paper No. DP10983. Available at SSRN: https://ssrn.com/abstract=2704477

Helmut Elsinger (Contact Author)

Austrian National Bank - Economic Studies Division ( email )

POB 61
Vienna, A-1011
Austria

Philipp Schmidt-Dengler

University of Vienna - Faculty of Business, Economics, and Statistics ( email )

Vienna, A-1210
Austria

Christine Zulehner

University of Vienna - Faculty of Business, Economics, and Statistics ( email )

Oskar-Morgenstern-Platz 1
Wien, 1090
Austria

HOME PAGE: http://homepage.univie.ac.at/christine.zulehner

Télécom Paris ( email )

19 Place Marguerite Perey
Palaiseau, 91120
France

Austrian Institute of Economic Research (WIFO) ( email )

P.O. Box 91
Wien, A-1103
Austria

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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