An Empirical Analysis Of Indian Treasury Bonds
Speaker(s) Dr. Rohit Lamba and Ms Seher Gupta Publication RBI Main Bldg. – 1st Floor, New Conference Room

This is short description of a research project in progress on understanding (through a model and data) the key features of the primary market for short-term sovereign debt popularly called Treasury Bills. The data (from the Indian treasury auctions) comprises of all the bids submitted in pay as bid auctions conducted every week by the RBI from Mar 2009-Feb 2011. Bidders are classified into primary and non-primary dealers, the former being the major bidders and winners of notified amount. After laying the field through a series of summary statistics, we present and structurally estimate a multi-unit share auction model, and use it to ask three counterfactuals. First, how would bids and revenue change under a uniform payment rule ?? the uniform auction? Second, why do primary dealers exist, and what happens if we remove this restriction? And, third, why do we use a multiunit weekly format, what if it is changed to single unit auction with a higher frequency?/


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