Stabsseminar ved Kjell Nyborg

Kjell Nyborg fra London Business School vil holde foredrag på stabsseminar ved institutt for foretaksøkonomi torsdag 29. august.

28.08.2002 - Anette W. Petersen

Tema: Bidding and performance in repo auctions: Evidence from ECB open market operations
Tid: Torsdag 29. august, kl. 12.15-13.30
Sted: Karl Borchs aud.

Abstract:
We study uniform price auctions using a dataset which includes
individual bidders' demand schedules in Finnish Treasury auctions during the period 1992-99. Average underpricing amounts to .041% of face value. Theory suggests that underpricing may result from monopsonistic market power. We develop and test robust implications from this theory and find that it has little support in the data. For example, bidders' individual demand functions do not respond to increased competition in the manner predicted by the theory. We also present evidence that the Finnish
Treasury acts strategically, taking into account the fact that the
auctions are part of a repeated game between the Treasury and the
primary dealers. Empirically, the main driver behind bidder behavior and underpricing is the volatility of bond returns. Since there is no evidence that bidders are risk averse, this suggests that private information and the winner's curse may play an important role in these auctions.

Paper er tilgjengelig på instituttets hjemmeside.