具有战略互动的主权债务拍卖（英）

Sovereign Debt Auctionswith Strategic Interactions Ricardo Alves Monteiro and Stelios Fourakis WP/25/151 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. 2025JUL IMF Working PaperICD Sovereign Debt Auctions with Strategic InteractionsPrepared byRicardo Alves Monteiro and Stelios Fourakis* Authorized for distribution byAli AlichiJuly2025 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. 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. Sovereign Debt Auctions withStrategic Interactions Prepared byRicardo Alves MonteiroandStelios Fourakis1 1Introduction Governments of both Emerging Market Economies (EMEs) and Advanced Economies(AEs) maintain enormous stocks of sovereign debt.1Almost all is issued in auctions, sodetermining 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. Figure 1 depicts how these two protocols work.Individual bids are combined into anaggregate demand function,p(b).The government selects the amount issued,b→, andthe 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 aggregate demand function itself depends on theauction protocol, as do fiscal policy decisions. There are two reasons for this.First, the government has discretion over the quantity issued, and it chooses the quantity after observing investors’ bids. The incentives to is-sue more or less debt differ with the auction protocol used, so different protocols leadto different issuance choices. Since the value of the debt declines when more is issued,different issuance choices lead to different lender expectations about how much the debtwill be worth, which leads to different bidding behavior. Second, there is a dynamic linkbetween debt auctions over time. The value of debt today depends not only on how muchdebt is issued today but also on how the auction protocol in use affects future borrowingand default decisions. In this paper we ask two related questions. First, how do outcomes (yields, borrowingand default decisions, and welfare) depend on the auction protocol used? Second how dothose differences inform which protocol countries facing default risk should use? To answer these questions, we build a theory of how strategic interactions between theborrower and lenders affect outcomes, and evaluate how different auction protocols in-teract with default risk. We fill a gap in the literature on sovereign debt and default: therole played by the mechanism for issuing debt and determining primary market prices.We also contribute to the quantitative sovereign debt literature by analyzing how choicesfor modeling this mechanism affect how well the model can fit the data. Finally, we alsocontribute to the literature that studies differences in these two types of auctions, whi