Revenue Efficiency Evaluation of IGB Auctions Held by the Ministry of Finance of Ukraine
Journal Title: Бізнес Інформ - Year 2016, Vol 9, Issue
Abstract
The article studies revenue efficiency of the internal government bond auctions held by the Ministry of Finance of Ukraine. In the article, a definition and an «ideal» index of revenue efficiency of the government securities auction are developed. Evaluation of this index requires knowledge of confidential information, which belongs to the bidders. Therefore, for the empirical research, a set of alternative indices that can be evaluated based on public data only is suggested. This set of indices includes premium for volume, competitive discount, maximal premium for volume, minimal competitive discount, relative weighted-average yield and relative threshold yield. Using these indices, the author evaluated the level and dynamics of revenue efficiency of the short-term IGB auctions held by the Ministry of Finance from January 2010 to July 2015. The evaluation revealed that at least beginning from 2013 efficiency of the analyzed auctions was rapidly decreasing. Moreover, it turned out that revenue efficiency of the short-term IGB auctions was largely determined by characteristics of the auctioned securities, state of financial markets, and level of competition among primary dealers.
Authors and Affiliations
Oleksandr Kikot
Keywords
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