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http://hdl.handle.net/10419/53965
  
Title:Comparison of auction formats in Canadian government auctions PDF Logo
Authors:Armantier, Olivier
Lafhel, Nourredine
Issue Date:2009
Series/Report no.:Bank of Canada Working Paper 2009,5
Abstract:Using a rich sample of Canadian government securities auctions, we estimate the structural parameters of a share-auction model accounting for asymmetries across bidders. We find little evidence of asymmetries between participants at Canadian government nominal bond auctions. A counter-factual analysis also suggests that given the assumptions underlying the model used, including that participation and quality of information are exogenous, the discriminatory format currently in place is superior to the uniform-price format in terms of the revenue generated by the Canadian government. Both auction formats, however, are found, under the same assumptions, to be dominated by the so-called Spanish auction” format.
Subjects:Debt management
Financial markets
Market structure and pricing
JEL:D44
G28
D63
Document Type:Working Paper
Appears in Collections:Bank of Canada Working Papers

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