Many financial assets, especially government bonds, are issued by an auction. An important feature of the design is the auction pricing mechanism: Uniform vs. Discriminatory. Theoretical papers do not provide a definite answer regarding the dominance of one type of auction over the other. We...

Recent literature attributes the temporary drop in secondary Treasury prices before a Treasury auction to primary dealers' limited risk-bearing capacity. However, we document a decline of more than 45% in the Treasury Inflation-Protected Securities (TIPS) auction amount allocated to dealers over...

After the global financial crisis, the yields of U.S. Treasury bills frequently exceed other risk-free rate benchmarks, thereby pointing to a diminishing convenience premium. Moreover, increases in market uncertainty (measured by VIX), increase Treasury yields instead of triggering flights to...

We model the uniform-price US Treasury security auction as a static symmetric game of incomplete information in which each payer is a primary dealer who submits a demand schedule given two independent sources of private information – his pre-auction short position of the auctioned security,...

We extend Wilson (1979) share auction framework to model the uniform-price US Treasury auction as a two-stage multiple leader-follower game. We then explicitly derive the primary dealer's (follower) strategic choice of bids as a function of its customer's (leader) bids and show that an increase...

We analyze bidding data from uniform price auctions of U.S. Treasury bills and notes between July 2009-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...

The Federal Reserve uses (reverse) auctions to implement its purchases of Treasury bonds in quantitative easing. To evaluate dealers' offers across multiple bonds, the Fed relies on its internal yield-curve model, fitted to secondary market bond prices. From November 2010 to September 2011, a...

I empirically show that underpricing of uniform-price U.S. Treasury auctions is explained by risk premia. I posit that intermediaries demand a risk premium to offset future secondary market price uncertainty, in which uncertainty is captured by treasury auction return volatility, which is...