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
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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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AT oviedomarco optimalbiddinginthemexicantreasurysecuritiesprimaryauctionsresultsofastructuraleconometricapproach
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