Demand functions in Polish Treasury auctions

• Autorzy: Michał Krawczyk
• Języki publikacji: EN

Abstrakty

EN

I introduce a new approach to modeling aggregate bidding functions (demand functions) submitted by participants of share auctions, the one based on (scaled) normal cumulative distribution functions. I provide a simple model illustrating how normal cdf-shaped demand might arise. Then, using new data from the Polish Treasury securities auctions, I show first, that assumptions of the model underlying the normal cdf specification fit the stylized characteristics of the data set and, second, that this approach actually generates a slightly better fit than the traditional approximation by logistic function. I also relate the parameters of the fitted function to economic variables known prior to the auction. This method appears to be a useful tool for early detection of slumps in the performance of a particular auction design.

W artykule wprowadzono nowe podejście do zagadnienia modelowania funkcji licytacji zagregowanej (funkcji popytu) zgłaszanej przez uczestników aukcji akcji, model bazujący na funkcjach skalowanego skumulowanego rozkładu normalnego. Przedstawiono prosty model ukazujący jak może powstać krzywa popytu o kształcie funkcji rozkładu normalnego. Następnie - używając danych z polskiego Ministerstwa Skarbu dotyczących aukcji papierów wartościowych - po pierwsze udowodniono, że model krzywej rozkładu normalnego pasuje do wspomnianego zakresu danych i po drugie, nieco lepiej wpasowuje się, niż szacunkowa określana za pomocą krzywej logistycznej. Powiązano również parametry dopasowanej funkcji ze zmiennymi ekonomicznymi, znanymi przed rozpoczęciem aukcji. Metoda ta wydaje się użytecznym narzędziem wczesnego wykrywania spadków w funkcjonowaniu danego modelu aukcji.

Słowa kluczowe

EN

Treasury securities market; Prices; Demand; Demand functions; Auctions; Economic variables

PL

Rynek papierów skarbowych; Ceny; Popyt; Funkcje popytu; Aukcje; Zmienne ekonomiczne

• Czasopismo: Bank i Kredyt
• Rocznik: 2009
• Numer: nr 4
• Strony: 31--49

Twórcy

autor

Michał Krawczyk

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