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Award ID contains: 1851707

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  1. ; ; (, Journal of political economy)
    Greg Kaplan (Ed.)
    Using bid-level data from discriminatory auctions for Mexican government bonds, we demonstrate that asymmetric information about default risk is a key friction in sovereign bond markets. We document that large bidders achieve higher bid-acceptance rates than other bidders despite paying no more for executed bids.We then propose a new model of primary markets in which investors may differ in wealth, risk aversion, market power, and information. Only asymmetric information can qualitatively account for our empirical finding, and asymmetric information about rare disasters can quantitatively match bidding and yield moments. Counterfactuals reveal substantial effects of asymmetric information on yields. 
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    Accepted Manuscript Full Text Available
  2. ; ; ; (, AEA papers and proceedings)
    Johnson, William (Ed.)
    In this paper we extend our analysis to incorporate the sample back to December 1995, the date at which Mexico began selling Cetes using discriminatory auctions. We analyze the data using a model of multiunit discriminatory auctions with risk-averse bidders and asymmetric information about the bond’s common value. We find that the insurance benefit of discriminatory auctions is substantial. 
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    Accepted Manuscript Full Text Available