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

本研究的重点是分析流动性、电力和采购拍卖等重要拍卖市场中的策略性竞价行为和恢复竞价中包含的信息。最近的金融危机突出表明，必须了解银行系统的机制，特别是整个系统用于分配流动资金/短期资金的机制。第一个研究项目分析了一种用于分配短期资金的特殊机制：欧洲央行(ECB)每周一次的再融资拍卖，这是欧洲央行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层面数据，并对银行在这些拍卖中观察到的行为进行建模，以推断每家银行在场外银行间市场获得贷款所需支付的利率。这个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它们提供有关商业银行财务状况的早期预警信号，以及关于不透明(场外)银行间市场上普遍存在的银行特定利率的信息。第二个项目侧重于分析排污权价格对竞价行为和随后在放松管制的意大利电力市场中发电的影响。它利用来自提前一天、平衡和调度拍卖市场的数据，以及关于远期合同和排放许可价格和分配的信息，来调查较高的许可价格是否会导致清洁能源产生更多电力。从政策的角度来看，这个问题非常重要，因为排放许可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一分析，因为化石燃料发电机是电力生产的主要来源，而且这些发电机之间的二氧化碳排放量有很大差异。因此，我们的目标是量化在给定的煤炭、天然气和石油价格下，我们应该看到什么排放许可价格转向更清洁的能源。第三个项目提出了一种新的方法，从观察到的投标中恢复投标人对他们在拍卖中面临的竞争程度的信心。以前的经验拍卖文献大多对投标人做出了各种假设？了解他们的竞争对手。这些假设经常被批评为过于严格。这一方法论贡献的主要目标是提供一种如何规避做出这些假设的新方法，并提供一种新的方法来测试重要拍卖市场的串通行为，例如高速公路建设的采购拍卖或石油租赁拍卖。更广泛的影响包括改善央行的操作，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.