Optimal Bidding in the Mexican Treasury Securities Primary Auctions: Results of a Structural Econometric Approach
This analysis of the Mexican Treasury securities primary auctions suggests that the uniform format yields higher revenues than the discriminatory format. It applies the structural econometric model proposed by Février, Préget, and Visser (2004). This model's main advantage is that it allows us...
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Instituto de Economía, Pontificia Universidad Católica de Chile
2008
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oai:scielo:S0717-682120080001000012009-01-13Optimal Bidding in the Mexican Treasury Securities Primary Auctions: Results of a Structural Econometric ApproachCASTELLANOS,SARAOVIEDO,MARCO Treasury Securities Share Auction This analysis of the Mexican Treasury securities primary auctions suggests that the uniform format yields higher revenues than the discriminatory format. It applies the structural econometric model proposed by Février, Préget, and Visser (2004). This model's main advantage is that it allows us to (i) estimate the parameters that characterize the distribution function of the securities'marginal value and the conditional distribution of the signals given the securities'value; (ii) derive optimal bids and equilibrium prices of alternative auction mechanisms; and (Hi) compare revenues. The uniform format's revenue superiority seems to be due to market uncertainty, defined as an environment with noisier value signals.info:eu-repo/semantics/openAccessInstituto de Economía, Pontificia Universidad Católica de ChileCuadernos de economía v.45 n.131 20082008-05-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212008000100001en10.4067/S0717-68212008000100001 |
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Scielo Chile |
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Scielo Chile |
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English |
topic |
Treasury Securities Share Auction |
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Treasury Securities Share Auction CASTELLANOS,SARA OVIEDO,MARCO Optimal Bidding in the Mexican Treasury Securities Primary Auctions: Results of a Structural Econometric Approach |
description |
This analysis of the Mexican Treasury securities primary auctions suggests that the uniform format yields higher revenues than the discriminatory format. It applies the structural econometric model proposed by Février, Préget, and Visser (2004). This model's main advantage is that it allows us to (i) estimate the parameters that characterize the distribution function of the securities'marginal value and the conditional distribution of the signals given the securities'value; (ii) derive optimal bids and equilibrium prices of alternative auction mechanisms; and (Hi) compare revenues. The uniform format's revenue superiority seems to be due to market uncertainty, defined as an environment with noisier value signals. |
author |
CASTELLANOS,SARA OVIEDO,MARCO |
author_facet |
CASTELLANOS,SARA OVIEDO,MARCO |
author_sort |
CASTELLANOS,SARA |
title |
Optimal Bidding in the Mexican Treasury Securities Primary Auctions: Results of a Structural Econometric Approach |
title_short |
Optimal Bidding in the Mexican Treasury Securities Primary Auctions: Results of a Structural Econometric Approach |
title_full |
Optimal Bidding in the Mexican Treasury Securities Primary Auctions: Results of a Structural Econometric Approach |
title_fullStr |
Optimal Bidding in the Mexican Treasury Securities Primary Auctions: Results of a Structural Econometric Approach |
title_full_unstemmed |
Optimal Bidding in the Mexican Treasury Securities Primary Auctions: Results of a Structural Econometric Approach |
title_sort |
optimal bidding in the mexican treasury securities primary auctions: results of a structural econometric approach |
publisher |
Instituto de Economía, Pontificia Universidad Católica de Chile |
publishDate |
2008 |
url |
http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212008000100001 |
work_keys_str_mv |
AT castellanossara optimalbiddinginthemexicantreasurysecuritiesprimaryauctionsresultsofastructuraleconometricapproach AT oviedomarco optimalbiddinginthemexicantreasurysecuritiesprimaryauctionsresultsofastructuraleconometricapproach |
_version_ |
1718442407968636928 |