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Bidding Behavior in Treasury Bill Auctions: Evidence From Pakistan
Author:
International Monetary Fund
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Series:
IMF Working Papers
Volume/Issue:
Volume 2000: Issue 111
Language:
English
Publication Date:
01 Jun 2000
DOI:
https://doi.org/10.5089/9781451853469.001
ISBN:
9781451853469
ISSN:
1018-5941
Pages:
30
Keywords:
WP; prices bid; cut-off price; bid schedule; bid shading; risk terms; volume bid reverse sign; auctions; Pakistan; treasury bills; Treasury bills and bonds; Government securities; Government debt management; Estimation techniques; Commercial banks
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund