Bid Shading and Bidder Surplus in the US Treasury Auction System
分析了2009年7月至2013年10月美国国债统一价格拍卖数据，发现一级交易商利用信息优势进行投标遮蔽，导致投标者剩余平均约3个基点，效率损失约2个基点。
We analyze bidding data from uniform price auctions of US Treasury bills and notes between July 2009 and October 2013. Primary dealers consistently bid higher yields compared to direct and indirect bidders. We estimate a structural model of bidding that takes into account informational asymmetries introduced by the bidding system employed by the US Treasury. While primary dealers' estimated willingness-to-pay is higher than direct and indirect bidders’, their ability to bid-shade is even higher, leading to higher yield/lower price bids. Total bidder surplus averaged to about three basis points across the sample period along with efficiency losses around two basis points.