Bid Shading and Bidder Surplus in the U.S. Treasury Auction System / Ali Hortaçsu, Jakub Kastl, Allen Zhang.

Format:

Book

Author/Creator:

Hortaçsu, Ali.

Contributor:

National Bureau of Economic Research.

Kastl, Jakub.

Zhang, Allen.

Series:

Working Paper Series (National Bureau of Economic Research) no. w24024.

NBER working paper series no. w24024

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2017.

Summary:

We analyze bidding data from uniform price auctions of U.S. Treasury bills and notes between July 2009-October 2013. Primary dealers consistently bid higher yields compared to direct and indirect bidders. We estimate a structural model of bidding that takes into account informational asymmetries introduced by the bidding system employed by the U.S. Treasury. While primary dealers' estimated willingness-to-pay is higher than direct and indirect bidders', their ability to bid-shade is even higher, leading to higher yield/lower price bids. Total bidder surplus averaged to about 3 basis points across the sample period along with efficiency losses around 2 basis points.

Notes:

Print version record

November 2017.