三种国债拍卖方式的拍卖收入比较研究
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财经研究 2006 年 第 32 卷第 12 期, 页码：67 - 76
摘要
参考文献
摘要
国债拍卖主要有美国式拍卖、荷兰式拍卖与混合式拍卖三种,但究竟哪一种拍卖方式的拍卖收入最大?学术界迄今尚无定论。文章对W-Z模型进行扩展,并在此基础上通过结合不同市场利率环境下投标者的不同风险偏好进行比较研究。结果表明:(1)当市场利率趋升时,若非竞争性投标量较大,则混合式拍卖收入最大;若非竞争性投标量较小,但竞争性投标者较少,且市场利率上升趋势极强,则同样是混合式拍卖收入最大,反之则荷兰式拍卖收入最大。(2)当市场利率趋降时,美国式拍卖收入最大。(3)当市场利率平稳时,何种拍卖方式收入最大无法确定。
②具体求解步骤内容参见Wang和Zender(2002)第694~697页。
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[1]Back Kerry,Jai me F Zender.Auctions of divisible goods:On the rationale for the treas-ury experi ment[J].The Reviewof Financial Studies,1993,6(4):733~764.
[2]Barker-Rogers,Tammy Marie.The auction of financial securities:Astudy of the treas-ury auction market[D].PhD Dissertation,the Graduate Faculty of Texas Tech Univer-sity,August 2001:21~34.
[3]Bikhchandani S,C Huang.The economics of treasury securities markets[J].Journal ofEconomic Perspective,1993,(7):117~134.
[4]Chatterjea,Arkadev,Robert AJarrow.Market manipulation,price bubbles and a modelof the U.S.treasury securities auction market[J].Journal of Financial and QuantitativeAnalysis,1998,33(2),225~290.
[5]Chari V V,Robert J Weber.Howthe U.S.treasury should auctionits debt[J].FederalReserve Bank of Minneapolis.Quarterly Review,1992,16(4):3~12.
[6]Feldman R,Reinhart V.Flexible esti mation of demand schedules and revenue under dif-ferent auction formats[R].Working paper,1996.
[7]Gordy MB.Multiple bids in multiple-unit common value auction[R].Mi meo,Board ofGovernors of the Federal Reserve System,1996.
[8]James J D Wang,Jai me F Zender.Auctioning divisible goods[J].Economic Theory,2002,(19):673~705.
[9]Klaus Abbink,Jordi Brandts,Paul Pezanis Christou.Auction for government securities:Alaboratory comparison of uniform,discri minatory and spanish Design[R].ECARESworking paper,November 2002.
[10]McAfee R P,J Mc Millan.Auctions and bidding[J].Journal of Economic Literature,1987,(30):699~738.
[11]Nyborg,Kjell G,Suresh Sundaresan.Discri minatory versus uniformtreasury auctions:Evidence from when issued transactions[J].Journal of Financial Economics,1996,42(1):63~104.
[12]Si mon,David P.Markups,quantity risk,bidding strategies at treasury coupon auction[J].Journal of Financial Economics,1994,35(1):43~62.
[13]Saikat Nandi.Treasury auctions:What do the recent models and results tell us?[J].Economic Review-Federal Reserve Bank of Atlanta,1997,(4):4~14.
[14]Tenorio,Rafael.Revenue equivalence and bidding behavior in a multi-unit auction mar-ket:An empirical analysis[J].The Review of Economics and Statistics,1993,76(5):302~314.
[15]Umlauf,Steven R.An empirical study of the mexican treasury bill auction[J].Journalof Financial Economics,1993,(33):313~340.
[16]奚君羊,马永波.国债拍卖方式的理论探讨及其检验[J].上海金融,2005,(3):41~42.
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奚君羊, 马永波. 三种国债拍卖方式的拍卖收入比较研究[J]. 财经研究, 2006, 32(12): 67–76.
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