Replication data for: Bid Shading and Bidder Surplus in the US Treasury Auction System

Name: Replication data for: Bid Shading and Bidder Surplus in the US Treasury Auction System
Published: 2018-01-01
License: This work is licensed under an Other license created by the data depositor. Please refer to the LICENSE file, which should be located alongside the project data and documentation.
Keywords: Treasury Auctions

Principal Investigator(s): View help for Principal Investigator(s) Ali Hortaçsu; Jakub Kastl; Allen Zhang

Version: View help for Version V1

Name	File Type	Size	Last Modified
US_T_AER			10/20/2021 09:39:AM
LICENSE.txt	text/plain	14.6 KB	10/12/2019 02:12:AM

Project Citation:

Hortaçsu, Ali, Kastl, Jakub, and Zhang, Allen. Replication data for: Bid Shading and Bidder Surplus in the US Treasury Auction System. Nashville, TN: American Economic Association [publisher], 2018. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113137V1

Project Description

Summary: We analyze bidding data from uniform price auctions of US Treasury bills and notes between July 2009 and October 2013. Primary dealers consistently bid higher yields compared to direct and indirect bidders. We estimate a structural model of bidding that takes into account informational asymmetries introduced by the bidding system employed by the US Treasury. While primary dealers' estimated willingness-to-pay is higher than direct and indirect bidders', their ability to bid-shade is even higher, leading to higher yield/lower price bids. Total bidder surplus averaged to about three basis points across the sample period along with efficiency losses around two basis points.

Scope of Project

Subject Terms: Treasury Auctions

JEL Classification:
      D44 Auctions
      E63 Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
      H63 National Debt; Debt Management; Sovereign Debt

Geographic Coverage: United States

Time Period(s): 7/1/2009 – 10/31/2010

Universe: all submitted bids

Data Type(s): event/transaction data

Methodology

Data Source: Department of Treasury

Unit(s) of Observation: dealer-auction-step,

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Published Versions

V1 [2019-10-12]

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