Discriminatory Versus Uniform Auction: Evidence From JGB Market

39 Pages Posted: 24 Sep 2020 Last revised: 21 Jan 2021

See all articles by Takahiro Hattori

Takahiro Hattori

University of Tokyo - Graduate School of Public Policy

Shogo Takahashi

Ministry of Finance - Japan

Date Written: August 10, 2020

Abstract

In 2007, the Japanese government changed the format of auctions for 30-year Japanese government bonds (JGB) from uniform to discriminatory. We examine data before and after this change to assess whether this has lowered the borrowing costs of the Japanese government, in the largest government bond market in the world. As Ausubel et al. (2014) described, the general revenue ranking of uniform and discriminatory auctions is an empirical question. Our empirical result shows that this policy change lowered borrowing costs. We also show that a discriminatory auction lowers the borrowing costs when the value of the bidders to JGB tends to be symmetric, which is consistent with the prediction of Ausubel et al. (2014).

Keywords: Discriminatory Auction; Uniform Auction; Markup; When-Issued Markets; Japanese Government Bond

JEL Classification: C57; D82; G18; G28

Suggested Citation

Hattori, Takahiro and Takahashi, Shogo, Discriminatory Versus Uniform Auction: Evidence From JGB Market (August 10, 2020). Available at SSRN: https://ssrn.com/abstract=3670701 or http://dx.doi.org/10.2139/ssrn.3670701

Takahiro Hattori (Contact Author)

University of Tokyo - Graduate School of Public Policy ( email )

Tokyo
Japan

Shogo Takahashi

Ministry of Finance - Japan ( email )

3-1-1 Kasumigaseki
Chiyoda-ku
Tokyo, 100-8940
Japan

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
158
Abstract Views
432
rank
221,838
PlumX Metrics