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オークションの理論と実際: 金融市場への応用

11白書さん:2015/06/20(土) 01:45:29 HOST:i153-144-130-245.s61.a027.ap.plala.or.jp
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Malvey, Archibald, and Flynn [1995]:“Uniform-Price Auctions: Evaluation of theTreasury Experience,” U.S. Treasury Department, 1995.

Malvey and Archibald [1998]:d, “Uniform-Price Auctions: Update of theTreasury Experience,” U.S. Treasury Department, 1998.

Godbout,Storer, and Zimmermann [2002]:“The Canadian Treasury BillAuction and the Term Structure of Interest Rates,” Journal of Banking and Finance,26 (6), 2002, pp. 1165–1179.

Goldreich [2003] :“Underpricing in Discriminatory and Uniform-Price TreasuryAuctions,” CEPR Discussion Paper No. 4105, 2003.

Nyborg and Sundaresan [1996] :“Discriminatory versus Uniform Treasury Auctions: Evidence from When-Issued Transactions,” Journal of FinancialEconomics, 42 (1), 1996, pp. 63–104

Umlauf [1993] :“An Empirical Study of the Mexican Treasury Bill Auction,”Journal of Financial Economics, 33 (3), 1993, pp. 313–340.

Tenorio [1993]:“Revenue Equivalence and Bidding Behavior in a Multi-unit AuctionMarket: An Empirical Analysis,” Review of Economics and Statistics, 75 (2), 1993,pp. 302–314.

Heller and Lengwiler [2001] :“Should the Treasury Price-Discriminate? A Procedure for Computing Hypothetical Bid Functions,” Journal of InstitutionalTheoretical Economics, 157 (3), 2001, pp. 413–429

Sade,Schnitzlein, and Zender [2006]:“Competition and Cooperation in Divisible Good Auctions: An Experimental Examination,” Review of FinancialStudies, 19 (1), 2006, pp. 195–235.

Simon [1994] :“The Treasury’s Experiment with Single-Price Auctions in the Mid-1970s: Winner’s or Taxpayer’s Curse?” Review of Economics and Statistics, 76 (4),1994, pp. 754–760

Hortaçsu [2002] :“Mechanism Choice and Strategic Bidding in Divisible Good Auctions:An Empirical Analysis of the Turkish Treasury Auction Market,” mimeo, 2002

Goswami, Noe, andRebello [1996] :“Collusion in UniformPrice Auctions: Experimental Evidence and Implications for Treasury Auctions,”Review of Financial Studies, 9 (3), 1996, pp. 757–785

Brenner, Galai, and Sade [2009] :“Sovereign Debt Auctions: Uniformor Discriminatory?” Journal of Monetary Economics, 56 (2), 2009, pp. 267–274.


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