Data and Code for: "Sovereign Debt Auctions In Turbulent Times"

Principal Investigator(s): View help for Principal Investigator(s) Harold Cole, University of Pennsylvania; Daniel Neuhann, University of Texas-Austin.; Guillermo Ordonez, University of Pennsylvania

Version: View help for Version V1

Name	File Type	Size	Last Modified
AER_PP_1.csv	text/csv	300 bytes	01/09/2022 09:00:AM
AER_PP_1.ipynb	text/plain	35.8 KB	01/10/2022 07:08:AM
AER_PP_counter.csv	text/csv	39 bytes	01/10/2022 08:50:AM
AER_PP_counter.ipynb	text/plain	20.2 KB	01/09/2022 05:58:AM
AER_alt_E.csv	text/csv	181 bytes	04/13/2022 11:53:AM
AER_alt_E.ipynb	text/plain	43.8 KB	01/10/2022 11:29:AM
AER_explore_C.csv	text/csv	450 bytes	01/10/2022 03:14:PM
AER_explore_C.ipynb	text/plain	143 KB	01/09/2022 09:00:AM
CETESdata.dta	application/x-stata-dta	135.2 KB	01/09/2022 05:58:AM
README.pdf	application/pdf	63.1 KB	04/27/2022 09:22:AM

Project Citation:

Cole, Harold, Neuhann, Daniel, and Ordonez, Guillermo. Data and Code for: “Sovereign Debt Auctions In Turbulent Times.” Nashville, TN: American Economic Association [publisher], 2023. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2023-10-09. https://doi.org/10.3886/E167561V1

Project Description

Summary: We use a model of multi-unit discriminatory auctions with asymmetrically informed risk-averse bidders to analyze Mexican sovereign bond auctions during periods of macroeconomic stress. We argue that the discriminatory protocol provides insurance benefits to the government in bad times because it allows for uninformed bids above the marginal price to be executed at the bid price. Uninformed investors are willing to make such bids if the infra-marginal risk premium is large enough to offset the winner’s curse. In crisis periods, we infer 1 p.p. lower borrowing costs in the worst states of the world, but 2.2 p.p. higher average costs.

Scope of Project

JEL Classification:
      D44 Auctions
      D82 Asymmetric and Private Information; Mechanism Design
      F34 International Lending and Debt Problems

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Published Versions

V1 [2023-10-09]

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