Although most governments sell their bonds through a share auction, little is known about behaviour of bidders in these auctions. This thesis analyzes the literature on government securities auctions, focusing primarily on structural empirical estimation. Additionally, it examines bidders behaviour in Colombian government bond auctions during 2007, including the additional sale done after the auction. The thesis summarizes the different structural methodologies that have been developed to determine what the best auction for a particular case is. It discusses the advantages and disadvantages of each methodology and explores assumptions and robustness when confronted with data. To make these comparisons more straightforward, a unified notation is introduced and several methods are applied to the same auctions, uniform price auctions conducted by the government of Colombia. / Thesis (Ph.D, Economics) -- Queen's University, 2010-01-14 11:03:29.635

Dans le premier chapitre, j'examine si les vendeurs à découvert sont mieux informés à propos des enchères d'obligation souveraines que le marché. Je trouve, en moyenne, une forte augmentation de la demande de vente à découvert avant les enchères. Néanmoins, la demande de vente à découvert ne prédit pas une augmentation future du rendement. Les vendeurs à découvert ne sont donc pas mieux informés sur le résultat des enchères et n'interprètent pas mieux que le marché.Dans le second chapitre, je développe et teste un modèle expliquant la baisse graduelle des prix observée dans les jours qui conduisent à des ventes anticipées d'actifs telles que les enchères du Trésor. Dans le modèle, les investisseurs averses au risque anticipent une vente d'actifs dont l'ampleur − et donc le prix − sont incertains. Je montre que les investisseurs font face à un compromis entre se hedger au moyen d'une position longue et spéculer sur la différence entre le prix avant la vente et le prix espéré de vente. En raison du hedging, le prix d'équilibre est supérieur au prix de vente espéré. À l'approche de la date de vente, l'incertitude quant au prix de vente diminue, les positions spéculatives à découvert augmentent et le prix diminue. Conformément aux prédictions, je trouve que le rendement des bons du Trésor italien augmente de 1,2 points de base après la publication d'informations sur le prix d'enchère, par rapport aux jours sans information.Dans le troisième chapitre, j'étudie le lien entre les prix et les taux repo au cours de la crise des subprimes. Je trouve que la relation de non-arbitrage entre les prix et les taux repo de Duffie (1996) performe moins bien pendant la crise. Cependant, les obligations à faible taux repo ont 18.0% plus de chance d'être plus coûteuses que les obligations identiques à taux repo élevé lors de la crise, contre seulement 9.0% avant la crise. Dans l'ensemble, bien qu'il existe de fortes limites à l'arbitrage, les prix et les taux repo présentent des co-mouvements plus importants pendant la crise. / In the first chapter, I ask if short-sellers are superiorly informed about sovereign auctions. I find a large average increase in demand for short-selling prior to auctions. Yet, the demand for short-selling a bond does not predict a subsequent increase in the bond's yield. Overall, there is no evidence that short-sellers predict or interpret auction outcomes better than the market.In the second chapter, I develop and test a model explaining the gradual price decrease observed in the days leading to large anticipated asset sales such as Treasury auctions. In the model, risk-averse investors anticipate an asset sale which magnitude, and hence price, are uncertain. I show that investors face a trade-off between hedging the price risk with a long position, and speculating on the difference between the pre-sale and the expected sale prices. Due to hedging, the equilibrium price is above the expected sale price. As the sale date approaches, uncertainty about the sale price decreases, short speculative positions increase and the price decreases. In line with the predictions, I find that the yield of Italian Treasuries increases by 1.2 bps after the release of auction price information, compared to non-information days.In the third chapter, I study the link between prices and repo rates during the subprime crisis. I find that the no-arbitrage relationship between prices and repo rates in Duffie (1996) fares worse during the crisis. However, low-repo-rate bonds have an 18.0% higher probability of being more expensive than identical high-repo-rate bonds during the crisis, compared to only 9.0% before the crisis. Overall, while there are high limits of arbitrage, prices and repo rates feature larger co-movements during the crisis.

I have developed a multiagent system platform that provides a valuable complement to the alternative research methods. The platform facilitates the development of heterogeneous agents in complex environments. The first application of the multiagent system is to the study of sealed-bid auctions with two-dimensional value signals from pure private to pure common value. I find that several auction outcomes are significantly nonlinear across the two-dimensional value signals. As the common value percent increases, profit, revenue, and efficiency all decrease monotonically, but they decrease in different ways. Finally, I find that forcing revelation by the auction winner of the true common value may have beneficial revenue effects when the common-value percent is high and there is a high degree of uncertainty about the common value. The second application of the multiagent system is to the study of English auctions with two-dimensional value signals using agents that learn a signal-averaging factor. I find that signal averaging increases nonlinearly as the common value percent increases, decreases with the number of bidders, and decreases at high common value percents when the common value signal is more uncertain. Using signal averaging, agents increase their profit when the value is more uncertain. The most obvious effect of signal averaging is on reducing the percentage of auctions won by bidders with the highest common value signal. The third application of the multiagent system is to the study of the optimal payment rule in Treasury auctions using Canadian rules. The model encompasses the when-issued, auction, and secondary markets, as well as constraints for primary dealers. I find that the Spanish payment rule is revenue inferior to the Discriminatory payment rule across all market price spreads, but the Average rule is revenue superior. For most market-price spreads, Uniform payment results in less revenue than Discriminatory, but there are many cases in which Vickrey payment produces more revenue.

I have developed a multiagent system platform that provides a valuable complement to the alternative research methods. The platform facilitates the development of heterogeneous agents in complex environments. The first application of the multiagent system is to the study of sealed-bid auctions with two-dimensional value signals from pure private to pure common value. I find that several auction outcomes are significantly nonlinear across the two-dimensional value signals. As the common value percent increases, profit, revenue, and efficiency all decrease monotonically, but they decrease in different ways. Finally, I find that forcing revelation by the auction winner of the true common value may have beneficial revenue effects when the common-value percent is high and there is a high degree of uncertainty about the common value. The second application of the multiagent system is to the study of English auctions with two-dimensional value signals using agents that learn a signal-averaging factor. I find that signal averaging increases nonlinearly as the common value percent increases, decreases with the number of bidders, and decreases at high common value percents when the common value signal is more uncertain. Using signal averaging, agents increase their profit when the value is more uncertain. The most obvious effect of signal averaging is on reducing the percentage of auctions won by bidders with the highest common value signal. The third application of the multiagent system is to the study of the optimal payment rule in Treasury auctions using Canadian rules. The model encompasses the when-issued, auction, and secondary markets, as well as constraints for primary dealers. I find that the Spanish payment rule is revenue inferior to the Discriminatory payment rule across all market price spreads, but the Average rule is revenue superior. For most market-price spreads, Uniform payment results in less revenue than Discriminatory, but there are many cases in which Vickrey payment produces more revenue.

I have developed a multiagent system platform that provides a valuable complement to the alternative research methods. The platform facilitates the development of heterogeneous agents in complex environments. The first application of the multiagent system is to the study of sealed-bid auctions with two-dimensional value signals from pure private to pure common value. I find that several auction outcomes are significantly nonlinear across the two-dimensional value signals. As the common value percent increases, profit, revenue, and efficiency all decrease monotonically, but they decrease in different ways. Finally, I find that forcing revelation by the auction winner of the true common value may have beneficial revenue effects when the common-value percent is high and there is a high degree of uncertainty about the common value. The second application of the multiagent system is to the study of English auctions with two-dimensional value signals using agents that learn a signal-averaging factor. I find that signal averaging increases nonlinearly as the common value percent increases, decreases with the number of bidders, and decreases at high common value percents when the common value signal is more uncertain. Using signal averaging, agents increase their profit when the value is more uncertain. The most obvious effect of signal averaging is on reducing the percentage of auctions won by bidders with the highest common value signal. The third application of the multiagent system is to the study of the optimal payment rule in Treasury auctions using Canadian rules. The model encompasses the when-issued, auction, and secondary markets, as well as constraints for primary dealers. I find that the Spanish payment rule is revenue inferior to the Discriminatory payment rule across all market price spreads, but the Average rule is revenue superior. For most market-price spreads, Uniform payment results in less revenue than Discriminatory, but there are many cases in which Vickrey payment produces more revenue.