三种国债拍卖方式的拍卖收入比较研究

国债拍卖主要有美国式拍卖、荷兰式拍卖与混合式拍卖三种,但究竟哪一种拍卖方式的拍卖收入最大?学术界迄今尚无定论。文章对W-Z模型进行扩展,并在此基础上通过结合不同市场利率环境下投标者的不同风险偏好进行比较研究。结果表明:(1)当市场利率趋升时,若非竞争性投标量较大,则混合式拍卖收入最大;若非竞争性投标量较小,但竞争性投标者较少,且市场利率上升趋势极强,则同样是混合式拍卖收入最大,反之则荷兰式拍卖收入最大。(2)当市场利率趋降时,美国式拍卖收入最大。(3)当市场利率平稳时,何种拍卖方式收入最大无法确定。

A Comparative Study on Revenue under Three Auction Formats of Treasury Bonds

Based on the model(Wang and Zender(2002)),this paper creatively puts Discriminatory auction,Uniform-price auction and Spanish auction in a single model,and compares their revenues for bidder's different risk preference in different interest rate environment.The results show,((1)when) market interest rate is rising and noncompetitive demand is strong,Spanish auction can provide the maximum revenue;when noncompetitive demand is weak,the number of competitive bidder is small and market interest rate tends to rise strongly,Spanish auction can provide the maximum revenue,otherwise Uniform-price auction can do.(2) When market interest rate is declining,Discriminatory auction can achieve the same goal.(3) When market interest rate is stable,it is still unclear which can provide the maximum revenue.