中国债券拍卖市场的非对称性研究——基于结构方法的拍卖计量分析

Research on Asymmetry of Chinese Treasury Auction Market:Auction Econometrical Analysis Based on Structural Methods

本文通过扩展Armantier和Sba提出的约束策略均衡,弥补了现有文献不能利用混合式拍卖数据的不足;基于拍卖计量分析方法,本文对中国债券拍卖市场的非对称性和投资者需求策略差异做了实证研究。我们发现:中国债券投资者存在明显的非对称性,小投资者的需求策略可以用线性均衡来近似,中等投资者和大投资者的需求策略与价格之间存在显著的非线性关系,大投资者是债券拍卖市场势力的主要来源。反事实分析表明,荷兰式拍卖有最高的理论收益,拍卖方式对不同投资者头寸的影响存在差异。数值模拟研究建议债券发行方引入更多小投资者;而此时投资者则应该适度调低报价,以减少"赢者诅咒"。

This paper extends A - S Constrained Strategic Equilibrium model to make use of hybrid auction data. Based on structural auction econometrical methods, we find there are evident asymmetry in Chinese treasury investors, the small investors requirement tactics are approximately linear, other kinds of investors exhibit nonlinear relationship between requirement tactics and prices, large investors are the major source of market power. Counter - fact analysis indicates uniform auction has highest revenue, and auction methods have different influences on the open position of difference investors. Simulation research results suggest the seller should introduce more small investors and the investors should lower their bidding price to decrease “winner＇s curses”.