Replication data for: Competition in Treasury Auctions
Principal Investigator(s): View help for Principal Investigator(s) Helmut Elsinger; Philipp Schmidt-Dengler; Christine Zulehner
Version: View help for Version V1
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Project Citation:
Elsinger, Helmut, Schmidt-Dengler, Philipp, and Zulehner, Christine. Replication data for: Competition in Treasury Auctions. Nashville, TN: American Economic Association [publisher], 2019. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114365V1
Project Description
Summary:
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We investigate the role of competition on the outcome of Austrian Treasury auctions. Austria's EU accession led to an increase in the number of banks participating in treasury auctions. We
use structural estimates of bidders' private values to examine the effect of increased competition on auction performance. We find robust evidence that bidders' surplus dropped sharply
after EU accession, but less than reduced form estimates would suggest. The difference can be explained by reduced form estimates not taking into account the increase in valuations upon
EU accession.
Scope of Project
JEL Classification:
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D44 Auctions
E63 Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
H63 National Debt; Debt Management; Sovereign Debt
D44 Auctions
E63 Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
H63 National Debt; Debt Management; Sovereign Debt
Geographic Coverage:
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Austria
Time Period(s):
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2/1991 – 5/2008
Universe:
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Our dataset contains all bids submitted by each bidder as well as the results in 153 Austrian Treasury auctions over the period from February 1991 to May 2008. For each auction, we know the bid schedule of each bidder and the winning allocation for each bidder. We also have information on volume and maturity of the bond.
Data Type(s):
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observational data
Collection Notes:
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We have the permission to publish the data anonymously, i.e., without bank identifier. The only results in the paper that cannot be reproduced with this data set are the estimation with two groups of bidders (Table A.1) and the conditional correlation reported in Section II.
Methodology
Data Source:
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The auction data was provided by the Austrian Treasury (http://www.oebfa.at/en/) and the Oesterreichische Kontrollbank (https://www.oekb.at/en/).
Unit(s) of Observation:
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year and month,
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