DP10983 Competition in Treasury Auctions

Author(s):	Helmut Elsinger, Philipp Schmidt-Dengler, Christine Zulehner
Publication Date:	December 2015
Keyword(s):	competition, multiunit auctions, structural estimation, treasury auctions
JEL(s):	D43, D44
Programme Areas:	Financial Economics, Industrial Organization
Link to this Page:	cepr.org/active/publications/discussion_papers/dp.php?dpno=10983

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.