IMF-具有战略互动的主权债务拍卖（英）

Sovereign Debt Auctions with Strategic Interactions Ricardo Alves Monteiro and Stelios Fourakis WP/25/151 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. 2025 JUL * Ricardo Alves Monteiro is grateful to his advisors Manuel Amador and Tim Kehoe, as well as Marco Bassetto for their support,encouragement and insightful discussions. We thank Gaston Chaumont for an excellent discussion, We also thank V. V. Chari,Dean Corbae, Doireann Fitzgerald, Loukas Karabarbounis, Illenin Kondo, Jonathan Heathcote, Leonardo Martinez, Francisco Roldan, Cesar Sosa-Padilla, Pedro Teles, Monica Tran-Xuan, Jose Cardoso da Costa, Cristina Casalinho, Daniel Belchior, Mauricio Barbosa Alves, William Jungerman and participants at the Federal Reserve Bank of Minneapolis, HEC Montreal, Toronto Metropolitan University, Catolica Lisbon, Banco de Portugal, ISEG, Minnesota-Wisconsin International Macro Workshop, University of Minnesota Workshops, Midwest Macro (Spring 2024), SED (Winter 2024), and IMF-ECB Fiscal Policy and Sovereign Debt Workshop (Spring 2025) for excellent comments. All errors are our own. © 2025 International Monetary Fund WP/25/151IMF Working Paper ICD Sovereign Debt Auctions with Strategic Interactions Prepared by Ricardo Alves Monteiro and Stelios Fourakis* Authorized for distribution by Ali Alichi July 2025 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT: In this paper, we build a model of sovereign borrowing and default, disciplined with proprietary bid level data, to study the impact that alternative ways of issuing sovereign debt have on borrowing decisions, the cost of debt, and welfare. We focus on the two most common types of auctions used for sovereign debt issuances: uniform and discriminatory price auctions. We calibrate the model to the Portuguese economy and find that the type of auction used has quantitative implications. In particular, discriminatory auctions generate spreads that provide a better fit to the data. In a counterfactual, we find that switching to a uniform protocol constitutes a Pareto improvement, and that the difference in welfare is highest during crises (0.6 percent of permanent consumption). Finally, we find that accounting for dynamic effects is crucial. In a single auction setting, a risk averse government prefers the discriminatory protocol. However, with repeated auctions, the properties of the discriminatory protocol incentivize over-borrowing. The anticipatory effect it has on prices makes the uniform protocol a better option. JEL C