IMF Working Papers

Bidding Behavior in Treasury Bill Auctions: Evidence From Pakistan

June 1, 2000

Download PDF

Preview Citation

Format: Chicago

Bidding Behavior in Treasury Bill Auctions: Evidence From Pakistan, (USA: International Monetary Fund, 2000) accessed November 8, 2024
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.

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

Keywords: Auctions, Bid schedule, Bid shading, Commercial banks, Cut-off price, Estimation techniques, Government debt management, Government securities, Pakistan, Prices bid, Risk terms, Treasury bills, Treasury bills and bonds, Volume bid reverse sign, WP

Publication Details

  • Pages:

    30

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2000/111

  • Stock No:

    WPIEA1112000

  • ISBN:

    9781451853469

  • ISSN:

    1018-5941

You May Also Be Interested In...

Republic of Tajikistan: Technical Assistance Report-Public Investment Management Assessment with the Climate Module

November 8, 2024

Colombia: Technical Assistance Report-Report on the Mineral Asset Accounts and Carbon Footprints Mission (May 20–24, 2024)

November 8, 2024

Republic Of Tajikistan: Fiscal Risk Management and Transparency of State-Owned Enterprises

November 8, 2024

Implementing Board-Endorsed Recommendations From The 2024 External Evaluation Of The Fund’s Independent Evaluation Office (IEO)

November 7, 2024