Empirical Analysis of Auction Markets: Liquidity, Electricity and Information Structure

本研究的重点是分析在重要的拍卖市场中的策略性投标行为和回收投标中包含的信息：流动性，电力和采购拍卖。最近的金融危机强调了理解银行系统机制的重要性，特别是在整个系统中分配流动性/短期资金的机制。第一个研究项目分析了用于分配短期资金的特殊机制：欧洲央行（ECB）每周再融资拍卖，这是ECB向欧元区银行业提供流动性的主要机制。我们使用详细的银行级数据，并对银行在这些拍卖中观察到的行为进行建模，以推断每家银行为获得贷款而必须在场外银行间市场支付的利率。该项目的主要目标之一是证明，通过经济模型解释流动性拍卖的投标数据，使研究人员能够深入了解参与银行的财务健康状况。因此，中央银行可以利用这些数据为他们提供有关商业银行财务状况的早期预警信号，并提供有关银行特定利率的信息，这些利率在不透明的（场外交易）银行间市场上普遍存在。第二个项目的重点是分析排放许可证价格对投标行为的影响，以及随后在放松管制的意大利电力市场上发电。它利用来自日前，平衡和调度拍卖市场的数据，以及远期合同和排放许可证价格和分配的信息，以调查更高的许可证价格是否会导致更多的清洁能源发电。从政策角度来看，这个问题非常重要，因为排放许可证的目标就是将发电重新分配给更清洁的能源。意大利市场非常适合这种分析，因为化石燃料发电机构成了电力生产的主要来源，并且这些发电机之间的二氧化碳排放量存在显着差异。因此，我们的目标是量化，对于给定的煤炭，天然气和石油的价格，在什么样的排放许可证价格，我们应该期望看到转向清洁能源。第三个项目提出了一种新的方法来恢复投标人的信念，他们在拍卖中面临的竞争程度从观察到的出价。大多数以前的实证拍卖文献作出各种假设投标人？了解他们的竞争对手。这些假设经常被批评为限制性太强。这种方法的贡献的主要目标是提供一种新的方法，如何规避这些假设，并提供一种新的方法来测试在重要的拍卖市场，如公路建设的采购拍卖或石油租赁拍卖的串通。更广泛的影响包括改善中央银行的运作，对如何鼓励清洁能源使用的新见解，以及拍卖市场研究的新方法。

The focus of this research is the analysis of strategic bidding behavior and recovering information contained in bids in important auction markets: liquidity, electricity and procurement auctions. The recent financial crisis has underlined the importance of understanding the mechanics of the banking system and especially the mechanisms used to allocate liquidity/short-term funds across the system. The first research project analyzes a particular mechanism used to allocate short-term funds: the European Central Bank's (ECB) weekly refinancing auctions, the primary mechanism through which the ECB supplies liquidity to the Euro-zone banking sector. We use detailed bank-level data and we model banks' observed actions in these auctions in order to infer interest rates each bank would have to pay in the over-the-counter interbank market to obtain a loan. One of the main goals of this project is to demonstrate that interpreting bidding data from liquidity auctions through an economic model allows the researcher to gain insights into financial health of participating banks. The central banks could thus be using these data to provide them with early warning signals about financial situation of commercial banks and with information about bank-specific interest rates prevailing on the opaque (over-the-counter) interbank market.The second project focuses on analyzing the impact of the prices of emission permits on bidding behavior and subsequent electricity generation in the deregulated Italian electricity market. It utilizes data from day-ahead, balancing and dispatch auction markets together with information on forward contracts and emission permit prices and allocations to investigate whether higher permit prices lead to more electricity generation by clean energy sources. This question is very important from policy perspective since the very goal of emission permits is to re-allocate electricity generation to cleaner energy sources. The Italian market is very well suited for this analysis since fossil-fueled generators constitute the major source of electricity production and there is significant variation in the emissions of CO2 among these generators. The goal is thus to quantify, for a given price of coal, gas and oil, at what emission permit prices we should expect to see shifts to cleaner energy.The third project proposes a novel method for recovering bidders' beliefs about the extent of competition they face in an auction from the observed bids. Most of the previous empirical auctions literature makes various assumptions about bidders? knowledge about their competition. These assumptions have often been criticized as being too restrictive. The main goal of this methodological contribution is to provide a novel approach how to circumvent making these assumptions and to provide a new method for testing for collusion in important auction markets, such as procurement auctions for highway construction or auctions of oil leases. Broader impacts include improved central bank operation, new insight into how to encourage cleaner energy usage, and new methods for research in auction markets.