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KDI - Korea Development Institute

KDI - Korea Development Institute



Policy Study A Study on Treasury Bond Auction December 31, 2010


Series No. 2010-15

Policy Study KOR A Study on Treasury Bond Auction #Asset Pricing #Competition Policy
DOI P-ISBN978-89-8063-496-5

December 31, 2010

  • KDI
    Kyoung-Soo Yoon
  • 프로필
    Kim, Jungwook
In June, 2009, Korean Government has shifted the method of issuing treasury bonds, mainly from the single price sealed-bid auction to the 'step price sealed-bid auction,' which combines some features of the discriminatory auction. The purpose of this change is to cure the potential problem in the issuing market due mainly to the recent trends of decrease in the bid-cover ratio, and frequent occurrences of negative auction spreads inversions of the successful bid rate to the rate in the secondary market). This study evaluates the effect of the scheme shift, both theoretically and empirically.

Theoretically, in multi-unit auction such as the treasury bond auction, the superiority of the methods of determining successful bids cannot be judged ex-ante. This is because the bid-shading and the resulting demand reduction occur for different reasons for each method. In discriminatory auction, bidders shade their bids to evade the 'winner's curse,' while in single price auction, they do so to reduce the auction clearing price. Thus, the allocative efficiency is not achieved and the relative auction revenue with respect to the method is not determined. This logic is also applicable to the step price auction. In addition, the single price auction reduces the risks of bidders, while the discriminatory auction provides more incentive for the bidders to acquire information.

The empirical study shows that after the scheme shift, the bid-cover ratio was increased and the profitability of primary dealer was improved. Furthermore, the gab between bid rates was reduced. This can be interpreted as the more active bids, or the increased coupling of bids. In addition, it could be resulted from the change of other relevant system, including the change of the range of obliged take-over. We also find that on the mark-up of primary dealers, the effect of the volatility in the secondary market became insignificant and the effect of rate-spread was reduced. In sum, the scheme shift was successful in that it induces more bids, but it could results in the reduction of government's auction revenue.
요 약

제1장 서 론

제2장 국고채 발행제도 개괄
 제1절 국고채 발행시장 제도의 변천
  1. 1997년 이전
  2. 1997~99년
  3. 2000~05년
  4. 2006년~현재
 제2절 현행 국고채 발행시장 제도
  1. 국고채 종목
  2. 국고채 발행 및 입찰 일정
  3. 국고채전문딜러의 입찰 및 낙찰 방법
  4. 국고채전문딜러제도
  5. 국고채 통합발행제도

제3장 국고채 경매의 이론
 제1절 경매방식 개괄
 제2절 경매방식에 따른 성과 비교
 제3절 국고채 경매의 몇 가지 고려사항
  1. 사적가치와 공유가치
  2. 정보획득의 유인

제4장 실증분석
 제1절 차등가격 낙찰제도 도입의 효과: 개요
  1. 응찰률 제고효과
  2. 경쟁 제고효과
  3. 입찰 행태 변화: 입찰물량
  4. 입찰 행태 변화: 입찰금리
  5. 개별 PD의 입찰 행태 변화
  6. 입찰 행태의 변화와 입찰의 비대칭성
  7. PD의 특성과 입찰 행태
  8. 입찰 행태 변화와 기대이윤(mark-up)
 제2절 기대실현이윤(mark-up)에 대한 실증분석
  1. 주요 변수 간의 상관관계 분석
  2. 모형 설정과 실증분석 결과

제5장 결 론


부 록

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