Multiple bids in a multiple-unit common value auction: simulations for the spanish auction

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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
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The Spanish Treasury is the only one in the world that uses a hybrid system of discriminatory and uniform price auctions to sell bonds. In the Spanish auction, winning bidders pay their bid price if it is lower than tbe weighted average price of witming bids, while all other winning bidders pay the weighted average price of winning bids. We adapt Gordy's (96) medel of the discriminatory auction to the Spanish auction. The model is a discrete model of multiple bids in a multiple-unit common value auction. We use numerical simulations to find equilibria for the Spanish, the uniform and the discriminatory auction. Our results show that bidders in the Spanish and discriminatory auctions use bid spread to cover themselves against uncertainty, and that expected seller's revenue is larger on average in the former.
El Tesoro español es el único en el mundo que usa un sistema híbrido de subastas discriminatoria y uniforme para subastar Letras del Tesoro. En la subasta Española, las pujas ganadoras pagan su precio si están por debajo del precio medio ponderado de las pujas ganadoras (WAP) Y el WAP en otro caso. Adaptamos un modelo de Gordy(96) de subastas discriminatorias al caso español. El modelo es de múltiples pujas, discretas, con múltiples unidades y valoración común. Usamos simulaciones para encontrar equilibrios en la subasta Española, discriminatoria y uniforme. Nuestros resultados muestran que los pujadores en las subastas Española y discriminatoria usan bid spread para cubrirse contra la incertidumbre, y que los ingresos esperados del vendedor son, en media, mayores en la primera.
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