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Discussion Paper Details

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Title: Competition in Treasury Auctions

Author(s): Helmut Elsinger, Philipp Schmidt-Dengler and Christine Zulehner

Publication Date: December 2015

Keyword(s): competition, multiunit auctions, structural estimation and treasury auctions

Programme Area(s): Financial Economics and Industrial Organization

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.

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Bibliographic Reference

Elsinger, H, Schmidt-Dengler, P and Zulehner, C. 2015. 'Competition in Treasury Auctions'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=10983