Multiple bids in a multiple-unit common value auction: simulations for the spanish auction
dc.contributor.author | Álvarez González, Francisco | |
dc.contributor.author | Mazón Calpena, Cristina | |
dc.date.accessioned | 2023-06-21T01:38:24Z | |
dc.date.available | 2023-06-21T01:38:24Z | |
dc.date.issued | 1999 | |
dc.description.abstract | 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. | |
dc.description.abstract | 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. | |
dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
dc.description.faculty | Instituto Complutense de Análisis Económico (ICAE) | |
dc.description.refereed | TRUE | |
dc.description.status | pub | |
dc.eprint.id | https://eprints.ucm.es/id/eprint/29027 | |
dc.identifier.citation | Abramowitz, M. and C. A Stegun, 1972, "Confluent Hypergeometric Functions", Ch. 13 in Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables, 9th printing. NewYork: Dover, 503-515. Alvarez, F., E. Cerdá and C. Mazón, 1999, "Treasury Bill Auctions in Spain: a linear approach", Mimeo. Asubel, L. and P. Cramton, 1998, "Demand reduction and inefficiency in multi-unit auctions", University of Maryland Working Paper. DeGroot, M., 1970, "Optimal Statistical Decisions", McGraw-Hill. Gordy, M., 1996, "Multiple Bids in a Multiple-Unit Common-Value Auction", Working Paper, Board of Governors of the Federal Reserve System. Maskin, E. and J. Riley, 1989, "Oprimal multi-unit auctions", in The economics of missing markets, information and games, edited by F. Halm. Mazón, c., and S. Núñez, 1999, "On the optimality of Treasury Bill Auctions: the Spanish Case", Documento de Trabajo, Banco de España. Milgrom, P., and R. Weber, 1982, "A Theory of Auctions and Competitive Bidding", Econometrica, (50),1089-1122. Salinas, R., 1990, "Subastas de títulos de deuda pública: un análisis de mecanismos de asignación de recursos", Documento de Trabajo n° 9002, CEMFI. Wang, J., and J. Zender, 1998, "Auctioning Divisible Goods", Working Paper, Fuqua School of Business, Duke University. Wilson, R., 1979, "Auctions of shares", Quarterly Journal of Economics, 93, 675-689. | |
dc.identifier.relatedurl | http://www.ucm.es/icae | |
dc.identifier.uri | https://hdl.handle.net/20.500.14352/64227 | |
dc.issue.number | 07 | |
dc.language.iso | eng | |
dc.page.total | 17 | |
dc.publication.place | Madrid | |
dc.publisher | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | |
dc.relation.ispartofseries | Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) | |
dc.rights | Atribución-NoComercial-CompartirIgual 3.0 España | |
dc.rights.accessRights | open access | |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/3.0/es/ | |
dc.subject.keyword | Treasury auctions | |
dc.subject.keyword | Spanish auction | |
dc.subject.keyword | Multi-unit auctions | |
dc.subject.keyword | Simulations. | |
dc.subject.ucm | Comercio | |
dc.subject.ucm | Hacienda Pública | |
dc.subject.unesco | 5304.03 Comercio exterior | |
dc.subject.unesco | 5301 Política Fiscal y Hacienda Publica Nacionales | |
dc.title | Multiple bids in a multiple-unit common value auction: simulations for the spanish auction | |
dc.type | technical report | |
dc.volume.number | 1999 | |
dspace.entity.type | Publication | |
relation.isAuthorOfPublication | 5c6d1bab-3a96-455e-96d4-556c4c6c23da | |
relation.isAuthorOfPublication | cd47ef5a-cdd5-4736-97fa-bfc207e9971c | |
relation.isAuthorOfPublication.latestForDiscovery | 5c6d1bab-3a96-455e-96d4-556c4c6c23da |
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