意大利国债拍卖中的投标行为：追加融资的作用

Bidding Behavior inItalian Treasury Auctions:The Role of Top-ups Daniela Marchettini WP/25/69 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. 2025MAR IMF Working PaperStatistics Department Bidding Behavior in Italian Treasury Auctions: The Role of Top-upsPrepared by Daniela Marchettini* Authorized for distribution by Christine DietherichApril2025 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTTACT: In response to rising global government debt, sovereign debt management offices (DMOs) are increasinglyrefining their issuance methods to optimize investor engagement and minimize borrowing costs. This paperevaluates the effectiveness of a two-stage Treasury auction design that incorporates a supplementary non-competitive 'top-up' component, assessing its potential to enhance bidder performance. Utilizing detailedmicrodata from Italian Treasury bill auctions and employing a Difference-in-Differences analytical framework,the paper investigates how these supplementary top-up auctions influence bidder behavior in terms ofrequested quantities and offered prices during the main competitive auction. The analysis demonstrates thatthe introduction of top-ups promotes more aggressive bidding, especially among marginal bids, leading tohigher cumulative bid values in the primary competitive phase. These findings suggest that top-up auctions caneffectively boost auction coverage and may contribute to lower government borrowing costs by strategicallyshaping bidder incentives and behaviors. RECOMMENDED CITATION:Daniela Marchettini (2025), “Bidding Behavior in Italian Treasury Auctions: TheRole of Topups,” IMF Working Paper 25/69 * The author would like to thank Estelle Cantillion for her continued support and valued insights. The author is also extremely gratefulto Davide Iacovoni, Pierpaolo Battista, and their colleagues for sharing with her their extensive knowledge on the institutionalframework of Italian Treasury auctions and for making the data available to her. The author is also thankful to Michele Fornino,Yuwawan Rattakul, and Sam Zhang for their insightful comments and suggestions An earlier version of the paper was presented atthe Third Interdisciplinary Sovereign Debt Research and Management Conference (DebtCon3), in Washington D.C. on April 11-12,2019 and at the 46th Annual Conference of the European Association for Research in Industrial Economics (EARIE), in Barcelona onAugust 30-September 1, 2019. The views expressed in this article are those of the author and do not necessarily represent those ofthe IMF or its membership. Bidding Behavior in ItalianTreasury Auctions: The Role ofTop-ups Prepared by Daniela Marchettini Contents Glossary ...............................................................................................................................................................4Executive Summary ............................................................................................................................................5I.INTRODUCTION.................................................................................................................................................6II.RELATEDLITERATURE...............................................................................................................................8III.THEFRAMEWORK FORTREASURYAUCTIONS WITHTOP-UPS......................................................................11III.1.The Auction Design ......................................................................................................................11III.2. Payment Rules in Top-ups ...................................................................................................................13IV. CONSIDERATIONS ON THEIMPACT OFTOP-UPS ONBIDDING INSIDE THEMAINAUCTION........................................14V. THEAUCTIONFRAMEWORK FORITALIANTREASURYBILLS..................................................................................18V.1. The Auction Mechanism .......................................................................................................................18V.2. Bidders..................................................................................................................................................19VI. TESTING THEIMPACT OFTOP-UPS ON BIDDING BEHAVIOR INITALIANTREASURYBILL AUCTIONS...........................20VI.1 Data ............................................................................................................