Divisible Good Auctions with Constrained Bidding: Theory, Empirics and Test for Common Values

这项研究在一个重要的现实市场和抽象的经济理论模型之间架起了一座桥梁，是任何实证工作的重要组成部分。该项目开发了新的数学和统计模型，以理解可划分的好拍卖。这种拍卖通常用于出售国库券或其他政府证券、电力和首次公开募股(IPO)的股票。由于全球每年仅出售价值约4万亿美元的国库券，这些拍卖机制就会影响到非常重要的市场。所有这些拍卖都有一个共同的特点，即投标人的策略(出价)被限制为采取特定的形式。具体地说，它们的特征必须是有限的(通常是相当少的)价格-数量对，它们共同描述了投标函数(或需求函数)。投标的这一制度特征在很大程度上被以前的文献忽视了，它对拍卖机制的表现具有重要的影响。本项目为受限竞价拍卖提供了一种新的理论，并将其应用于两个不同背景下的数据：分别是捷克和加拿大政府的国库券拍卖。这个国家使用统一的价格拍卖形式，这意味着所有竞标者为他们赢得的所有国库券支付相同的市场清算价格。这项研究提供了一种从投标数据中恢复投标人估值的新方法，并使用这些估计值表明，在进行反事实或评估拍卖机制的性能时，忽略对投标策略的限制可能会导致重要问题。在第二个实证应用中，该项目考虑了一种新的统计检验，用于在具有私密值和公共值的模型之间进行选择。在具有私人价值的模型中，投标人自己对拍卖商品的估值独立于他的对手的信息。另一方面，当价值普遍存在时，竞标者的估值可能取决于竞争对手的私人信息。这项测试适用于加拿大政府国库拍卖的数据，该拍卖具有歧视性的拍卖形式，这意味着每个竞标者必须为她赢得的每一张国库券支付全部报价。结果表明，私人价值模型适用于3个月期国库券，但不适用于12个月期国库券。本研究还分析了大型一级交易商从客户订单流中获取的信息价值，发现这一利润来源在这些国债拍卖中占一级交易商总利润的很大份额，本研究的更广泛影响将有助于从业者决定拍卖规则，以及如何设计或调整制度设置以提高拍卖绩效。我

This research bridges a gap between an important real world market and abstract models of economic theory is an important ingredient in any empirical work. The project develops new mathematical and statistical models to understand divisible good auctions. This kind of auction is typically employed to sell treasury bills or other government securities, electricity, and shares in initial public offerings (IPOs). Since about $4 trillion worth of treasury bills alone are sold annually worldwide, these auction mechanisms affect very important markets. All of these auctions share the common feature that bidders' strategies (bids) are restricted to take a particular form. In particular, they have to be characterized by a finite (and usually quite small) number of price-quantity pairs, which together describe the bid function (or demand function). This institutional feature of bids, which has been to a large extent ignored in the previous literature, has important implications for the performance of auction mechanisms. This project offers a new theory for auctions with constrained bidding and applies it on data from two different settings: treasury bill auctions of the Czech and Canadian governments respectively.In the first application, this project analyzes treasury auction data from the Czech Republic. This country uses a uniform price auction format, which means that all bidders pay the same market clearing price for all treasury bills they win. This research offers a new method for recovering bidders' valuations from data on bids and using these estimates it demonstrates that ignoring the restrictions on the bidding strategies could lead to important problems when conducting counterfactuals or evaluating the performance of the auction mechanism.In the second empirical application the project considers a novel statistical test for deciding between models with private and common values. In a model with private values, a bidder's own valuation for the auctioned good is independent of the information of his opponents. When values are common, on the other hand, a bidder's valuation might depend on rivals' private information. The test is applied to data from treasury auctions of the Canadian government, which have a discriminatory auction format, which means that every bidder has to pay his full bid for every treasury bill she wins. The results suggest that a private value model is appropriate in the case of 3-months treasury bills, but not for 12-months treasury bills. This research also analyzes the value of information that large primary dealers derive from customers' order flow and finds that this source of profits accounts for a significant share of primary dealer's overall profits in these treasury bill auctions.The broader impacts of this research will benefit practitioners deciding on auction rules and how to design or adjust the institutional settings to improve auction performance. I