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:  View help for Summary 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:  View help for JEL Classification
      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:  View help for Geographic Coverage Austria
Time Period(s):  View help for Time Period(s) 2/1991 – 5/2008
Universe:  View help for Universe 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):  View help for Data Type(s) observational data
Collection Notes:  View help for Collection Notes 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:  View help for Data Source 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:  View help for Unit(s) of Observation year and month,

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Published Versions

V1 [2019-10-12]

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