AN EMPIRICAL STUDY OF THE TURKISH T-BILLS PRIMARY AUCTIONS

Rasim ÖZCAN (Boston College)

Treasury bills are very important part of the debt management of the governments. Even slight improvements in revenue creation save billions of dollars for the governments. Hence it is worth to analyze the commonly used auction formats, uniform price and discriminatory price auctions. The main point of this paper is to compare these two auction formats and find out which one is better for the seller. I will investigate this point empirically by using the data for the Turkish Treasury bill auctions.

The data I have is for the T-bill auctions of the Turkish Treasury for the period from January 2000 to February 2002. In this period, there are 85 auctions, some are uniform price auctions, and others are discriminatory price auctions. The data consists of all price and quantity pairs bid by the participants making this data different from others in the literature, accepted last price, total quantity sold, maturity of the bills. By using this detailed data, I analyze two types of auctions and try to decide in which one the seller finance its debt at a cheaper cost.