AN EMPIRICAL-STUDY OF THE MEXICAN TREASURY BILL AUCTION

This paper analyzes bidding behavior in Mexican Treasury bill auctions for the period 1986-1991. The Mexican auction rules resemble those us ed in U.S. Treasury bill auctions closely. Results suggest the presenc e of collusion among large bidders throughout a large portion of the s ampling period and the presence of information asymmetries between sma ll and large bidders. Results also suggest that bidders account for th e winner's curse and that participants bid more cautiously when uncert ainty is high. Bidders' profits fell dramatically in 1990 when the Tre asury substituted uniform for discriminatory pricing to combat collusi on and to increase auction revenues.