Bidder participation and information in currency auctions
By: prepared by Lawrence Ausubel and Rafael Romeu.
Contributors: Romeu, Rafael, 1975-; International Monetary Fund. Western Hemisphere Dept.
Series: IMF working paper -- WP/05/157
Publisher: International Monetary Fund, Western Hemisphere Dept.
Published: 2005
Place of publication: Washington, D.C
Language: eng
Number of pages: 45
Subjects: Banco Central de Venezuela.; Foreign exchange market -- Econometric models.; Auctions -- Econometric models.
Description: This paper studies the participation and performance of sophisticated versus unsophisticated auction participants in an environment with numerous bidders, uncertainty, and asymmetric information. We examine multi-unit, pay-as-bid, currency auctions conducted by the Central Bank of Venezuela. We find that sophisticated bidders outperform their less sophisticated rivals during periods of high volatility, apparently as a result of their superior informationgathering ability. The result is consistent across both quantity (sophisticated bidders win more market share) and price (sophisticated bidders pay lower premiums). The result is consistent with the view that a pay-as-bid auction format may be detrimental to participation by less-informed bidders.
Notes: "August 2005."

Includes bibliographical references (p. 43-45).

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