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Daniel Marszalec, Oxford University Print
Friday, 21 October 2011, 12:15 - 13:15

Daniel Marszalec, Oxford University

An Empirical Analysis of Polish Treasury Bill Auctions

Abstract: This paper applies two structural econometric models - the fully non-parametric model of Hortacsu (2002), and the semi-parametric model of Fevrier, Preget and Visser (2002) - to Polish treasury bill auction data. The present work has two main aims: firstly, to compare the performance of discriminatory and uniform-price auctions on the Polish market, and secondly, to evaluate the mutual (in)consistencies of predictions from the two econometric models. I conclude that both of the models considered suggest that the current setup, which uses a discriminatory auction, performs better than a uniform-price auction would, and that both models agree on this conclusion. The number of cases in which predictions from the two auctions are inconsistent is small, though in part this is due to the weakness of the conclusions implied by the Hortacsu model.

Location: R42.2.113
Contact: Claude Adan, This e-mail address is being protected from spam bots, you need JavaScript enabled to view it