CAREER: Empirical Analysis of Financial Markets Using Auction Data

最近的金融危机强调了了解银行系统机制的重要性，特别是在参与银行之间分配流动性/短期资金的机制。许多金融市场都是以拍卖的形式组织的，本提案的目标是利用解释拍卖市场行为的经济理论，以便与金融市场本身的机制对话。例如，银行之间的许多交易都是在场外进行的，因此外人是看不到的。尽管如此，由于银行经常参与与央行的各种交易，例如欧洲央行进行的贷款拍卖，我们可以在银行在银行间市场面临的融资成本与其意愿之间建立联系支付央行贷款。拍卖理论告诉我们，在给定的拍卖机制下，投标人如何将他们的支付意愿转化为出价。因此，我们可以采用计量经济学技术，使我们能够做相反的事情：从观察到的出价中恢复支付意愿，从而恢复每家银行的融资成本。这一建议包括几个项目，下文将详细介绍，这些项目利用这一方法解决系统性风险量化等重要问题，评估信用违约掉期合约的财务结算机制或估计美国债务的需求弹性。在本项目的第一部分，PI建议恢复有关短期债券成本的信息，通过使用欧洲中央银行（ECB）每周再融资拍卖的投标进行定期融资，这是欧洲货币政策的主要工具。PI提出了一种新的方法，利用这些融资成本的动态来了解金融网络（银行之间未观察到的风险敞口），以量化系统性风险：一家银行的负面冲击会影响其他银行的融资成本的程度。因此，这项研究是对估计这一重要参数的平行努力的直接补充，监管机构对此非常感兴趣。PI侧重于严重困境的时间（2007-09），其中包括2007年金融危机的爆发和雷曼兄弟的破产。利用欧洲央行主要再融资业务的投标，该项目将有助于我们对金融网络的理解，并将提供如何发现银行之间联系的方法，这些联系通常由于银行间交易的场外性质而无法观察到，使用辅助数据。本项目的第二部分侧重于在各种触发事件（如违约）发生后举行的拍卖，其目的是对信用违约互换（CDS）进行财务结算。由于未平仓CDS合约的金额大大超过担保债券的金额，目前采用的两阶段拍卖程序是一个非常重要的价格发现机制，允许在触发事件发生后对这些合约进行财务结算。然而，这种机制的奇怪特征可能会让人怀疑参与者是否有正确的动机，以使债券的最终价格与其真实价值相一致。因此，拟议的项目将通过评估目前使用的两阶段机制的优点和缺陷，有助于我们了解这个重要市场。本项目的最后一部分集中在美国财政部发行美国债券。目标是通过直接从提交的投标中恢复对各种证券的支付意愿，估计对各种到期日的不同债务工具及其替代模式的需求弹性。这些结果应该有助于财政部指导其决定在给定一周内出售的到期债券的组合。该项目的第二个目标是分析一级经销商系统的成本和收益。更广泛的影响：拟议的研究有可能产生个别银行的财务健康措施，并量化银行对整个系统的重要性，即，它的？系统性？使用所提出的方法，因此，我们可能能够正式确定？大到不能倒因此，我们可以改进潜在政策干预的目标。对信用违约互换拍卖的分析应有助于揭示该机制的可靠性，以发现违约发行人债券的正确价格，并可能指出其不足之处，并提出改进拍卖机制的建议。监管机构、央行和政策制定者应该对结果感兴趣。研究结果将广泛传播，以促进有关机构的应用。

The recent financial crisis has underscored the importance of understanding the mechanics of the banking system and especially the mechanisms used to allocate liquidity/short-term funds among the participating banks. Many financial markets are organized as auctions and the goal of this proposal is to leverage the economic theory explaining behaviour in auction markets in order to speak to the mechanics of the financial markets themselves. For example, much of the transactions between banks takes place over-the-counter andis thus unobserved to outsiders. Nevertheless since banks participate frequently in various transactions with the central banks, such as auctions of loans conducted by the European Central Banks, we can construct a link between the cost of funding a bank faces in the interbank market and its willingness-to-pay for a loan from the central bank. The auction theory informs us how bidders would translate their willingness-to-pay into bids given an auction mechanism. We can therefore employ econometric techniques that allow us to dothe reverse: recover the willingness-to-pay from the observed bids and thus to recover the cost of funding of every bank. This proposal consists of several projects described in more detail below that make use of this approach to address important issues such as quantification of systemic risk, evaluation of the mechanism used to settle the credit default swap contracts financially or estimation of the elasticity of demand for US Debt.In the first part of this project the PI proposes to recover information about the cost of short-term funding by using bids from the European Central Banks (ECB) weekly refinancing auctions, the primary tool of European monetary policy. The PI proposes to a novel method that utilizes the dynamics of these funding costs to gain insights about the financial network (the unobserved exposures of banks to one another) in order to quantify the systemic risk: the extent to which a negative shock to one bank can affect the funding costs of other banks. This research is thus a direct complement to parallel efforts to estimate this important parameter, which regulators are very interested in. The PI focuses on the time of severe distress (2007-09), which includes the onset of the 2007 financial crisis and the failure of Lehman Brothers. Using bids from main refinancing operations of the ECB, the project will contribute to our understanding of financial networks and it will provide methods how to uncover the links between banks, which are typically unobserved due tothe over-the-counter nature of the interbank transactions, using auxiliary data. The second part of the project focuses on auctions held after various triggering events such as defaults that are aimed at financial settlement of credit default swaps (CDS). Since the amount of outstanding CDS contracts greatly exceeds the amount of covered bonds, the currently employed two-stage auction procedure is a very important price-discovery mechanism that allows for financial settlement of these contracts after a triggering event. Yet, the strange features of this mechanism may cast some doubt on whether the participants have the right incentives to behave in a way that the resulting price of the bond corresponds to its true value. The proposed project therefore will contribute to our understanding of this important market by evaluating the benefits and deficiencies of the two-stage mechanism that is currently used. The final part of this project focuses on the issuance of US Debt by the Department of Treasury. The goal is to estimate the elasticities of demand for different debt instruments of various maturities and their substitution patterns by recovering the willingness-to-pay for various securities directly from the submitted bids. These results should help the Treasury guide its decision on the mix of maturities that are sold in a given week. The secondary goal of this project is to analyze the costs and benefits of the primary dealersystem.Broader impact: The proposed research has the potential to generate measures of financial health of individual banks and quantify the importance of a bank for the whole system, i.e., its ?systemic-ness?. Using the proposed methods we thus may be able to formally identify the ?too-big-to-fail? banks, and hence we may improve targeting of potential policy interventions. The analysis of credit default swap auctions should shed some light on the reliability of that mechanism to discover the correct price of bonds of defaulted issuersand potentially point to its deficiencies and propose improvements to the auction mechanism. The results should be of interest to regulators, central banks and policy-makers. The results will be disseminated broadly to promote their application by the relevant institutions.