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Comparison of Auction Formats in Canadian Government Auctions

Author

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  • Olivier Armantier
  • Nourredine Lafhel

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.

Suggested Citation

  • Olivier Armantier & Nourredine Lafhel, 2009. "Comparison of Auction Formats in Canadian Government Auctions," Staff Working Papers 09-5, Bank of Canada.
    • Handle: RePEc:bca:bocawp:09-5
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    References listed on IDEAS

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    1. Abbink, Klaus & Brandts, Jordi & Pezanis-Christou, Paul, 2006. "Auctions for government securities: A laboratory comparison of uniform, discriminatory and Spanish designs," Journal of Economic Behavior & Organization, Elsevier, vol. 61(2), pages 284-303, October.
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    Citations

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    Cited by:

    1. Francisco Alvarez & Cristina Mazón, 2016. "Price volatility in the secondary market and bidders’ heterogeneous behavior in Spanish Treasury auctions," Empirical Economics, Springer, vol. 50(4), pages 1435-1466, June.
    2. Angelo Ranaldo & Dr. Enzo Rossi, 2016. "Uniform-price auctions for Swiss government bonds: Origin and evolution," Economic Studies 2016-10, Swiss National Bank.
    3. Pycia, Marek & Woodward, Kyle, 2021. "Auctions of Homogeneous Goods: A Case for Pay-as-Bid," CEPR Discussion Papers 15656, C.E.P.R. Discussion Papers.
    4. Rydqvist, Kristian & Wu, Mark, 2016. "Pre-auction inventory and bidding behavior: Evidence from Canadian Treasury auctions," Journal of Financial Markets, Elsevier, vol. 30(C), pages 78-102.
    5. Bo Young Chang & Jun Yang & Parker Liu, 2018. "The Cost of the Government Bond Buyback and Switch Programs in Canada," Staff Analytical Notes 2018-41, Bank of Canada.
    6. Rydqvist, Kristian & Wu, Mark, 2014. "Pre-Auction Inventory and Bidding Behavior?An Analysis of Canadian Treasury Auctions," CEPR Discussion Papers 10112, C.E.P.R. Discussion Papers.

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    More about this item

    Keywords

    Debt management; Financial markets; Market structure and pricing;
    All these keywords.

    JEL classification:

    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • D63 - Microeconomics - - Welfare Economics - - - Equity, Justice, Inequality, and Other Normative Criteria and Measurement

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