具有战略互动的主权债务拍卖

*Ricardo Alves Monteiro is grateful to his advisors Manuel Amador and Tim Kehoe, as well as Marco Bassetto for their support,encouragement and insightful discussions. We thank Gaston Chaumont for an excellent discussion, We also thank V. V. Chari,Dean Corbae, Doireann Fitzgerald, Loukas Karabarbounis, Illenin Kondo, Jonathan Heathcote, Leonardo Martinez,FranciscoRoldan,Cesar Sosa-Padilla, Pedro Teles,Monica Tran-Xuan,Jose Cardoso da Costa, Cristina Casalinho, Daniel Belchior,Mauricio Barbosa Alves, William Jungerman and participants at the Federal Reserve Bank of Minneapolis, HEC Montreal, TorontoMetropolitan University,Catolica Lisbon, Banco de Portugal, ISEG, Minnesota-Wisconsin International Macro Workshop,University of Minnesota Workshops, Midwest Macro (Spring 2024), SED (Winter 2024), and IMF-ECB Fiscal Policy and SovereignDebt Workshop (Spring 2025) for excellent comments. All errors are our own.IMF Working PaperICDSovereign Debt Auctions with Strategic InteractionsPrepared byRicardo Alves Monteiro and Stelios Fourakis*Authorized for distribution byAli AlichiJuly2025IMF 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.ABSTRACT:In this paper,we build a model of sovereign borrowing and default, disciplined with proprietary bidlevel data, to study the impact thatalternative ways of issuing sovereign debt have on borrowing decisions, thecost of debt, and welfare.We focus on the two most common types of auctions used for sovereign debt issuances:uniform and discriminatory price auctions.We calibrate the model to the Portuguese economy and find thatthetype of auction used has quantitative implications. In particular, discriminatory auctions generate spreads thatprovide a better fit to the data.In a counterfactual, we find that switching to a uniform protocol constitutes a Paretoimprovement, and that the difference in welfare is highest during crises (0.6percentof permanent consumption).Finally, we find that accounting for dynamic effects is crucial. In a single auction setting, a risk averse governmentprefers the discriminatory protocol. However, with repeated auctions, the properties of the discriminatory protocolincentivizeover-borrowing. Theanticipatoryeffect it has on prices makes the uniform protocol a better option.D44, E43, F34, F41, G15, H63.Sovereign debt auctions, default risk, discretion, dilution.ralvesmonteiro@imf.org,sfourakis@jhu.edu JEL Classification Numbers:Author’s E-Mail Address: Keywords: INTERNATIONAL MONETARY FUNDSovereign Debt Auctions withStrategic InteractionsPrepared byRicardo Alves MonteiroandStelios Fourakis11Ricardo Alves Monteiro is grateful to his advisors Manuel Amador and Tim Kehoe, as well as Marco Bassetto for their support,encouragement and insightful discussions. We thank Gaston Chaumont for an excellent discussion, We also thank V. V. Chari,Dean Corbae, Doireann Fitzgerald, Loukas Karabarbounis, Illenin Kondo, Jonathan Heathcote, Leonardo Martinez,FranciscoRoldan,Cesar Sosa-Padilla, Pedro Teles,Monica Tran-Xuan,Jose Cardoso da Costa, Cristina Casalinho, Daniel Belchior,Mauricio Barbosa Alves, William Jungerman and participants at the Federal Reserve Bank of Minneapolis, HEC Montreal, TorontoMetropolitan University,Catolica Lisbon, Banco de Portugal, ISEG, Minnesota-Wisconsin International Macro Workshop,University of Minnesota Workshops, Midwest Macro (Spring 2024), SED (Winter 2024), and IMF-ECB Fiscal Policy and SovereignDebt Workshop (Spring 2025) for excellent comments. All errors are our own. 1IntroductionGovernments of both Emerging Market Economies (EMEs) and Advanced Economies(AEs) maintain enormous stocks of sovereign debt.1determining the best way to run these auctions is a key question for both policymakersand academics.2. In sovereign debt auctions, investors submit bids consisting of quantity-price pairs.The government then chooses which bids to accept.These first steps arebasically universal, but there is wide variation in the rules then used to determine theexecution price for each winning bid, i.e. the “auction protocol.” OECD (2023) found 40of 41 countries surveyed used auctions. Of those, 12 used uniform price auctions, 15 useddiscriminatory price auctions and 13 used both.(a) A uniform price auctionFigure 1: Comparison of uniform price and discriminatory price auctionsFigure 1 depicts how these two protocols work.Individual bids are combined into anaggregate demand function,p(b).The government selects the amount issued,b→the clearing price,Pc. In a uniform price auction, all accepted bids are executed at themarginal price. In a discriminatory price auction (pay-as-bid), all accepted bids are ex-ecuted at their bidding prices. The shaded area below the aggregate demand functionis total revenue. As we will show, the a