n African Finance Journal - Cointegration analysis of behavioral issues in the auctioning of treasury bills in Tanzania
|Article Title||Cointegration analysis of behavioral issues in the auctioning of treasury bills in Tanzania|
|© Publisher:||AfricaGrowth Institute|
|Journal||African Finance Journal|
|Author||Ellinami J. Minja|
|Publication Date||Jan 2010|
|Pages||58 - 74|
|Issue||Special issue 1|
|Keyword(s)||Bank of Tanzania, Bidding behavior, Cointegration, E43, E47 and Treasury bills auction|
The discriminatory auction system elicits some behaviors from the bidders. While bidders quoting high prices are prone to suffer the winner's curse, low prices can signal bid shedding or even collusion among bidders. Based on 8-year weekly observations of auction results of treasury securities in Tanzania, we use cointegration to establish the behavior of yields obtained (or quoted) by different bidder categories. The results not only suggest Granger-causality among the lowest, lowest successful and highest bid price series but also that they are generated by similar processes. Lowering of the bid size also led to better cointegration of the yields.
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