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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Autores principales:	CASTELLANOS,SARA, OVIEDO,MARCO
Lenguaje:	English
Publicado:	Instituto de Economía, Pontificia Universidad Católica de Chile 2008
Materias:	Treasury Securities Share Auction
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212008000100001
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spelling	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
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Treasury Securities Share Auction
spellingShingle	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
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Optimal Bidding in the Mexican Treasury Securities Primary Auctions: Results of a Structural Econometric Approach

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