This paper exploits a large-scale auction experiment conducted by two Chinese government treasury security issuers—the Chinese Development Bank and the Export-Import Bank—to investigate whether treasury securities should be sold through uniform price or discriminatory price auction mechanisms. Based on the outcomes of more than 300 treasury securities issued through an alternating auction-rule market experiment, we find that yield rates of the two auction formats are not statistically different. Further, these estimates indicate there is no significant economic difference in terms of revenue between the two auction mechanisms. This result is robust across different bond yield-rate measurements and participation behavior.
Barbosa, Klenio, Dakshina G. De Silva, Liyu Yang, and Hisayuki Yoshimoto.
"Auction Mechanisms and Treasury Revenue: Evidence from the Chinese Experiment."
American Economic Journal: Microeconomics,
Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
Asset Pricing; Trading Volume; Bond Interest Rates
Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
Socialist Institutions and Their Transitions: Financial Economics