Competition in Treasury Auctions

SAFE Working Paper No. 127

35 Pages Posted: 26 Feb 2016

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; Austrian Institute of Economic Research (WIFO); Centre for Economic Policy Research (CEPR); Goethe University Frankfurt - Research Center SAFE

Multiple version iconThere are 2 versions of this paper

Date Written: February 2016

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: treasury auctions, multi-unit auctions, independent private values, competition, bidder surplus, auction format

JEL Classification: D44, G12, G21, L10, L13

Suggested Citation

Elsinger, Helmut and Schmidt-Dengler, Philipp and Zulehner, Christine, Competition in Treasury Auctions (February 2016). SAFE Working Paper No. 127. Available at SSRN: https://ssrn.com/abstract=2738381 or http://dx.doi.org/10.2139/ssrn.2738381

Helmut Elsinger

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 (Contact Author)

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

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

Goethe University Frankfurt - Research Center SAFE ( email )

(http://www.safe-frankfurt.de)
Theodor-W.-Adorno-Platz 3
Frankfurt am Main, 60323
Germany

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