Auctions of Public Debt Securities by the Central Bank of Brazil: A Study of the Factors of the Dispersion of Proposals for BBCs

ABSTRACT We aim at obtaining a simple econometric model that allows us to build a confidence interval for the dispersion of the bids made by financial institutions at the central bank weekly auctions of short-term securities in Brazil. Under competitive conditions (e. g., no coalition between a few financial institutions) we assume that the bids’ dispersion is associated with the volatility of the daily interest rate futures prices and the daily interest rates that had prevailed during the days prior to the auction. Based on that assumption, our model succeeds in separating the two auctions with extremely high volatility. ln one of them, the high dispersion could be predicted using the other interest rate markets’ data; in the other the dispersion fell outside the confidence interval for the predicted dispersion. This can be used as empirical evidence of an attempt to comer the market that has indeed occurred at that date.

摘要：本研究旨在构建简易计量经济学模型，以针对巴西中央银行每周短期有价证券拍卖中金融机构提交的投标离散度构建置信区间。在竞争环境下（例如，少数金融机构之间不存在合谋），我们假设投标离散度与日利率期货价格波动率，以及拍卖日前几日通行的日利率水平相关。基于该假设，本模型成功甄别出两笔波动率极高的拍卖：其中一笔的高离散度可通过其他利率市场的数据进行预测；而另一笔的离散度则超出了预测离散度的置信区间。该结果可作为当日确曾发生市场操纵行为的实证依据。