Treasury bill auction procedures: Empirical perspectives from French market bid functions

We use empirical properties of market bid functions in Treasury bill auctions to analyze the Treasury auction mechanism. We propose an econometric method that exploits data from auction tables and we determine variables influencing the shape of market bid functions and their fluctuations across auctions. We apply the estimation procedure to discriminatory French Treasury bill auctions. We propose several applications of our empirical model. First, we provide a tool to forecast incoming auctions. Second, we measure, by simulations, the impact of different environments on auction rates. Third, we provide new empirical perspectives on the debate about the best procedure between the discriminatory and the uniform price auctions.