Bidding Behavior in Treasury Bill Auctions: Evidence From Pakistan
June 1, 2000
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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
Pages:
30
Volume:
2000
DOI:
Issue:
111
Series:
Working Paper No. 2000/111
Stock No:
WPIEA1112000
ISBN:
9781451853469
ISSN:
1018-5941
