Discussion Papers 2020

CIRJE-F-1138	"Auction Performance, Strategic Supply Management, and Bidder Behavior in Treasury Bill Auctions: Evidence from the Philippines"
Author Name	Mariño III, Eduardo Anthony G. andDaniel Marszalec
Date	January 2020
Full Paper	PDF File
Remarks

Abstract
We examine the Treasury bond auction system in the Philippines by using bid data from around 500 Treasury auctions from January 2010 to October 2017. The Philippines features a strategic auctioneer who uses both discriminatory and uniform price auctions, and adopts an active quantity management policy through frequent use of supply restrictions and full rejections. In this environment, the discriminatory auction generates superior outcomes in terms of lower borrowing costs, but at the expense of concentrating awards among fewer bidders. We also nd that he govern- ment's decision to restrict auction supply is driven by cost and strength of demand. In response to higher volatility, and a higher number of competitors, bidders adjust for winner's curse by submitting bids with higher yield spreads. Though we conrm that bidder heterogeneity exists, average auction prots do not signicantly dier across bidder types.

Abstract

We examine the Treasury bond auction system in the Philippines by using bid data from around 500 Treasury auctions from January 2010 to October 2017. The Philippines features a strategic auctioneer who uses both discriminatory and uniform price auctions, and adopts an active quantity management policy through frequent use of supply restrictions and full rejections. In this environment, the discriminatory auction generates superior outcomes in terms of lower borrowing costs, but at the expense of concentrating awards among fewer bidders. We also nd that he govern- ment's decision to restrict auction supply is driven by cost and strength of demand. In response to higher volatility, and a higher number of competitors, bidders adjust for winner's curse by submitting bids with higher yield spreads. Though we conrm that bidder heterogeneity exists, average auction prots do not signicantly dier across bidder types.