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

具有约束出价的可分割物品拍卖：理论、经验和共同价值检验

• 批准号: 0752860
• 负责人: Jakub Kastl
• 金额: $ 21.72万
• 依托单位: Stanford University
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2008
• 资助国家: 美国
• 起止时间: 2008-03-01 至 2013-02-28
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0752860&HistoricalAwards=false
• 关键词: Divisible; Good; Auctions; Constrained; Bidding

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

这项研究弥合了一个重要的真实的世界市场和经济理论的抽象模型之间的差距，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，以了解可分割的好拍卖。 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。 由于全世界每年仅国库券就销售价值约4万亿美元，这些拍卖机制影响着非常重要的市场。所有这些拍卖都有一个共同的特点，即投标人的策略（出价）受到限制，采取特定的形式。特别是，它们必须以有限数量（通常是相当小的数量）的价格-数量对为特征，这些价格-数量对一起描述了投标函数（或需求函数）。投标的这一制度特征在以前的文献中很大程度上被忽略了，但它对拍卖机制的绩效具有重要的影响。本计画提供一个新的拍卖理论，并将其应用于两个不同的背景下：捷克和加拿大政府的国库券拍卖，在第一个应用中，本计画分析来自捷克共和国的国库券拍卖数据。 这个国家使用统一的价格拍卖格式，这意味着所有投标人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新的方法，用于恢复投标人的估价从数据的出价和使用这些估计，它表明，忽略的投标策略的限制可能会导致重要的问题时，进行反事实或评估的拍卖mechanism.In第二个实证应用程序的项目考虑了一种新的统计检验模型之间的决定与私人和共同的价值观。在一个私人价值模型中，投标人自己对拍卖品的估价与竞争对手的信息无关。另一方面，当价值是共同的时，投标人的估价可能取决于竞争对手的私人信息。该测试适用于加拿大政府国库拍卖的数据，这些拍卖具有歧视性拍卖格式，这意味着每个投标人都必须为她赢得的每一张国库券支付全额出价。结果表明，私人价值模型是适当的情况下，3个月的国库券，但不适合12个月的国库券。本研究还分析了大型一级交易商从客户订单流中获得的信息价值，发现这一利润来源在一级交易商的整体利润中占有相当大的份额。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