Banca de DEFESA: Sergio Gesteira Costa

Uma banca de DEFESA de DOUTORADO foi cadastrada pelo programa.
STUDENT : Sergio Gesteira Costa
DATE: 12/06/2025
TIME: 14:00
LOCAL: AT 85/7, Prédio da Face
TITLE:

Treasury Auction Issuance Strategies and Results

KEY WORDS:

Treasury Auctions; Discriminatory Auctions; Uniform Auctions; Revenue Equivalence; Supply shocks.

PAGES: 103
BIG AREA: Ciências Sociais Aplicadas
AREA: Economia
SUMMARY:

This thesis examines public debt issuance strategies, focusing on the frequency (biweekly or weekly) of auctions, bid selection criteria (uniform or discriminatory pricing), competitiveness and formats (hybrid or pure auctions) used by the Brazilian National Treasury between 2014 and 2023. First, we assess the impact of increasing the frequency of NTN-F auctions to weekly, observing reduced fluctuations in yields before and after auctions, as well as stable secondary market traded volumes. Data suggest rate volatility around auctions ("V" effect in prices) is associated with limited risk absorption capacity of bidders. Reduced model analysis of bid selection criteria presents evidence of lower premiums in uniform-price auctions. Also, contrary to theoretical expectations, there were significant higher premiums in hybrid auctions relative to traditional ones. In addition we examined networks and competition in auctions. Our simulations and tests point to absence in strategic bid coordination. Analyzing groups of bidders, we found that dealers bid more aggressively, probably due to obligations and privileges of dealership.

COMMITTEE MEMBERS:
Presidente - 162391 - MAURICIO SOARES BUGARIN
Interno - 1642911 - DANIEL OLIVEIRA CAJUEIRO
Interno - 4079124 - VANDER MENDES LUCAS
Externo à Instituição - Douglas Sad Silveira - UFJF
Externa à Instituição - Fábia Aparecida de Carvalho - FMI