Bidding Behavior in Treasury Bill Auctions: Evidence From Pakistan

Publication Date:

June 1, 2000

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

Behavior in the first three years of auctions for Pakistani treasury bills is studied. Bidding strategies rapidly converged to a consistent pattern after the auctions started in 1991. Factors are identified that influenced the expected profitability of auction participation, which was on average low and did not differ between types of bidders. Prices bid are found to reflected both ‘buy and sell’ and ‘buy and hold’ strategies, and were affected by risk considerations and bidder-specific variables. The Pakistani experience suggests the robustness of auctions as a market-based allocation mechanism, and their value in public debt management.

Series:

Working Paper No. 2000/111

Subject:

Commercial banks Econometric analysis Estimation techniques Financial institutions Government debt management Government securities Public financial management (PFM) Treasury bills and bonds

English

Publication Date:

June 1, 2000

ISBN/ISSN:

9781451853469/1018-5941

Stock No:

WPIEA1112000

Pages:

30

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