Treasury auctions in Spain: a linear approach

Abstract

Abstract. The majority of Treasuries use discriminatory auctions to sell government debt. A few Treasuries use uniform auctions. The Spanish Treasury is the only one that uses a hybrid format of discriminatory and uniform auctions. All Treasury auctions are multiple-unit multiple-bid auctions, usually assumed to be common and unknown value auctions. Taking in account these features, we analyze the Spanish auction format, taking a linear approximation to bidders' multiple bids, and characterize a parameter set in which the Spanish format gives higher expected seller's revenue than discriminatory and uniform auctions. Policy implications are obtained by calibrating theoretical results with data.