AØKK08353U Seminar: Treasury Bill Auctions: Theory and Empirics (F)
MSc programme of Economics
The course is a part of the financial line, signified by (F)
The seminar is primarily for students at the MSc of
Economics
Understanding treasury bill auctions is of vital importance to governments, central banks and financial agents alike. This seminar will first study the theoretical auction models as well as the empirical methods used to analyze this type of auctions. Issues such as asymmetric information and collusion will be discussed. The students will then work independently or in groups of up to two and produce a project, either theoretical or empirical, based on the issues studied. Auction data will be provided such that the students can work directly with the issues studied.
Understand the theory underlying the study of treasury bill auctions. Be able to use this theory together with relevant empirical methods to study real auction data.
Wilson R., “Auctions of Shares”, 1979, Quarterly Journal of Economics, 93, 675-689
Kyle A., “Informed Speculation with Imperfect Information”, 1989, The Review of Economic Studies, 5, 387-409
Back K. and J. Zender, “Auctions of Divisible Goods: On the Rationale for the Treasury Experiment”, 1993, The Review of Financial Studies, 6, 733-764
Wang J. and J. Zender, “Auctioning divisible goods”, 2002. Economic Theory, 19(4), 673-705
Nyborg K., Rydqvist K. and S. Sundaresan, “Bidder Behavior in Multiunit Auctions: Evidence from the Swedish Treasury Auctions”, 2002, Journal of Political Economy, 110, 394-425
Keloharju M., Nyborg K. and K. Rydqvist, “Strategic behavior and underpricing in uniform price auctions: Evidence from Finnish treasury auctions”, 2005, The Journal of Finance, 60(4), 1865-1902
Hortaçsu, A., and D. McAdams. "Mechanism choice and strategic bidding in divisible good auctions: An empirical analysis of the turkish treasury auction market", 2010, Journal of Political Economy, 118(5), 833-865
Hortacsu A. and J. Kastl, “Valuing dealers' informational advantage: A study of Canadian Treasury auctions", 2012, Econometrica, 80(6), 2511-2542
First meeting in week 36. Exact information will be given by the teachers through Absalon.
- Category
- Hours
- Project work
- 200
- Seminar
- 6
- Total
- 206
for enrolled students. More information about registration, schedule, rules, courses etc. can be found at the student intranet (KUnet) for courses (English) and student intranet (KUnet) for courses (Danish).
More information about seminars is available in KUnet for Study Programme (UK) and Study Programme (DK).
- Credit
- 7,5 ECTS
- Type of assessment
- Written assignmentA written seminar paper in English
- Exam registration requirements
Attendance on the seminar. The mandatory commitment paper has been handed in at deadline.
- Aid
- All aids allowed
Al aids for the written seminarpaper.
- Marking scale
- 7-point grading scale
- Censorship form
- External censorship
up to 20 % censorship at the seminarpaper
- Exam period
Autumn 2016:
Deadline for submitting the commitment paper: October 1, 2016
Presentation days: Week 46
Deadline for submitting the seminar paper: December 5, 2016 at 10.00 AM
For enrolled students more information about examination, exam/re-sit, rules etc. is available at the student intranet for Examination (English) and student intranet for Examination (KA-Danish).
- Re-exam
Submission of a written assignmetn and an oral exam in which you may be examined in the presentations of the other students participating in the seminar during the enrolment period in question.
Criteria for exam assesment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.
Course information
- Language
- English
- Course code
- AØKK08353U
- Credit
- 7,5 ECTS
- Level
- Full Degree Master
- Duration
- 1 semester
- Placement
- Autumn
- Schedule
- Autumn (Week 36-50)
- Study board
- Department of Economics, Study Council
Contracting department
- Department of Economics
Course responsibles
- ptk532 ptk532 (14-6d6876736875317578676c6a68754368667271316e7831676e)
- Martin Gonzalez Eiras (3-716b694469677372326f7932686f)