Analysis of Auctions

拍卖分析

• 批准号: 9809082
• 负责人: Philip Haile
• 金额: $ 16.17万
• 依托单位: University of Wisconsin-Madison
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1998
• 资助国家: 美国
• 起止时间: 1998-07-15 至 2001-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9809082&HistoricalAwards=false
• 关键词: Analysis; Auctions

Auctions have been a productive focus for theoretical and empirical studies of strategic behavior in markets with asymmetric information. Yet despite a rich and growing literature, auction theory has ignored potentially important features of real world auction markets, and fundamental empirical questions regarding auctions remain unanswered. This project addresses some of these shortcomings with new empirical and theoretical analysis. The empirical component of the project focuses on ``structural'' estimation of auction models, where a theoretical model is used to map observed bids into model primitives. Structural estimation provides a precise interpretation of the data and can be particularly valuable for policy analysis. However, there is a serious danger: if the theoretical model underlying the empirical specification is poorly matched to the economic processes actually generating the data, results can be wildly misleading. Two new estimation approaches are proposed to partially address this problem. The first addresses a well known discrepancy between auctions in theory and practice: the fact that English auctions are most often held in an `oral ascending bid'' format (where bidders call out prices on their own) rather than the ``button auction'' format envisioned in most theoretical work. This mismatch has important implications for the interpretation of data from English auctions. While one solution would be development of a more descriptive theoretical model, an attempt to explain choices of bids called out in the dynamic environment of an oral auction faces severe challenges. The approach proposed here enables semi-parametric estimation of the distributions of bidder valuations at oral ascending bid auctions without requiring a precise specification of the process generating the observed bids. Relying on only weak implications of economic theory, this approach is robust to variations in fine details of the `true model` generating the data. This technique is applied to data from U.S. Forest Service timber auctions, where it is used to address important policy questions regarding reserve prices and to assess its methodological contribution relative to existing approaches. The second approach sacrifices flexibility of the assumed distributional specification in order to allow a more general information structure in the underlying theoretical model than has previously been used in empirical studies. In particular, the model allows ex ante asymmetry in bidders' values for the object, asymmetry in the precision of bidders' signals of values, and separate signals of both private and common value components. These complications are likely to exist in many applications and have important implications for policy and evaluation of theory. Tests are performed for the presence of each of these complications in an application to Federal auctions of offshore mineral rights. Auxiliary data on quantities of minerals extracted are used to construct tests of the empirical specification and to investigate the tradeoff between flexibility of the underlying theoretical model, as permitted here, and flexibility of the distributional specification, as allowed by other approaches. The second component of this project is a theoretical investigation of optimal selling procedures when potential buyers can trade in a secondary market. Such resale opportunities exist for most goods sold by auction and can have significant impacts on the constraints faced in designing a selling mechanism. Nonetheless, nearly all of the auction literature has ignored the possibility of resale. Implications of resale opportunities for the ability of sellers to extract surplus are investigated, as is the impact of resale on the efficiency of allocations under optimal selling mechanisms. For standard auctions followed by a resale opportunity, the use of reserve prices, bundling of multiple objects, pre-auction information revelation by the seller, and information acquisition by buyers are all investigated.

拍卖一直是信息不对称市场中战略行为理论和实证研究的一个富有成效的焦点。然而，尽管文献丰富且不断增长，拍卖理论却忽略了现实世界拍卖市场的潜在重要特征，有关拍卖的基本实证问题仍未得到解答。 该项目通过新的实证和理论分析解决了其中一些缺点。 该项目的实证部分侧重于拍卖模型的“结构”估计，其中理论模型用于将观察到的出价映射到模型原语。结构估计提供了对数据的精确解释，对于政策分析特别有价值。 然而，存在严重的危险：如果实证规范背后的理论模型与实际生成数据的经济过程不匹配，结果可能会产生严重误导。提出了两种新的估计方法来部分解决这个问题。第一个问题解决了理论和实践中拍卖之间众所周知的差异：事实上，英国拍卖通常以“口头升序出价”形式（投标人自行喊出价格）进行，而不是大多数理论著作中设想的“按钮拍卖”形式。 这种不匹配对于英国拍卖数据的解释具有重要意义。 虽然一种解决方案是开发更具描述性的理论模型，但试图解释在口头拍卖的动态环境中提出的出价选择面临着严峻的挑战。 这里提出的方法能够在口头升序投标拍卖中对投标人估值的分布进行半参数估计，而不需要生成观察投标的过程的精确规范。这种方法仅依赖于经济理论的微弱含义，对于生成数据的“真实模型”的细节变化具有鲁棒性。 该技术适用于美国林务局木材拍卖的数据，用于解决有关底价的重要政策问题，并评估其相对于现有方法的方法贡献。 第二种方法牺牲了假设的分布规范的灵活性，以便在基础理论模型中允许比以前在实证研究中使用的信息结构更通用的信息结构。 特别是，该模型允许投标人对标的物的价值存在事前的不对称性、投标人的价值信号的精度不对称性，以及私人和公共价值成分的单独信号。 这些复杂情况可能存在于许多应用中，并对政策和理论评估具有重要影响。在申请联邦近海矿权拍卖时，会针对这些复杂情况的存在情况进行测试。有关提取矿物数量的辅助数据用于构建经验规范的测试，并研究此处允许的基础理论模型的灵活性与其他方法允许的分布规范的灵活性之间的权衡。 该项目的第二个组成部分是对潜在买家可以在二级市场进行交易时的最佳销售程序进行理论研究。大多数通过拍卖出售的商品都存在这种转售机会，并且可能对设计销售机制时面临的限制产生重大影响。 尽管如此，几乎所有拍卖文献都忽略了转售的可能性。研究了转售机会对卖方提取剩余能力的影响，以及转售对最优销售机制下分配效率的影响。 对于标准拍卖以及随后的转售机会，底价的使用、多个物品的捆绑、卖方的拍卖前信息披露以及买方的信息获取都受到调查。