Bidders' behaviour in government securities auctions : a case study for Colombia

The paper examines the bidders behaviour in the Colombian government bond auctions during 2007 for the period in which there is no uncertainty in the supply. Three main ndings are presented. First, in contrast with other treasury auctions (Castellanos [2]), the market clearing price in the Colombian auctions tends to be above the price in the secondary market. I explore this phenomenon and illustrate that a key institutional detail involving a secondary sale contingent on the primary auction may explain this dierence with other auctions. Second, using identiers that allow me to follow individual bidders across auctions I analyze the determinants of the stepwise demands. I nd that predetermined variables explain the number of steps (bid-points) and the quantities. However, bid prices exhibit signicant unexplained variation. Third, for demands that have 3 or more bid-points, 93% of the variability is captured by a linear regression. This result is similar to what Horta csu