Seminar: Treasury Bill Auctions: Theory and Empirics (F)

Course content

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.


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

Learning outcome

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. 

The seminar will start with sessions in which the above literature list (or a modified list) will be covered. After this, students will begin work with their own paper, which will be supervised by the teachers and peers. Throughout the initial sessions in which the literature is covered, potential seminar topics will be discussed. By the end of September, each participant must have a clear topic, presented in a commitment paper: we will meet to discuss those. Early November we meet to discuss the main findings of each paper. The final paper is due in early December, when we also meet over two days for full presentations and discussions of papers.

First meeting in week 36. Exact information will be given by the teachers through Absalon.

  • 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

The qualifications is BA and all students at the master can participate, but it is expected that students have a prior course in financial markets or international finance, or that a relevant textbook is consumed.

7,5 ECTS
Type of assessment
Written assignment
A written seminar paper in English
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
Criteria for exam assessment

The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.

  • Category
  • Hours
  • Seminar
  • 6
  • Project work
  • 200
  • English
  • 206