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Keywords:auctions OR Auctions 

Working Paper
A discrete model of discriminatory price auctions - an alternative to Menezes-Monteiro

Menezes and Monteiro, Math. Soc. Sci. (1995), show that a multi-unit discriminatory price auction does not have a pure strategy equilibrium unless one imposes some rather special conditions on the demand functions. This non-existence result might indicate a problem either with the underlying auction procedure (as Menezes and Monteiro suggest) or with the modelling approach (as we suggest). We observe that the non-existence problem disappears if bids must come in multiples of smallest units --- a realistic feature. Moreover, we show that most of the analysis can be recast in a discrete action ...
Finance and Economics Discussion Series , Paper 1998-08

Journal Article
High bid

Regional Review , Issue Spr , Pages 18-24

Working Paper
Insider rates vs. outsider rates in lending

The presence of private information about a firm can affect the competition among potential lenders. In the Sharpe (1990) model of information asymmetry among lenders (with the von Thadden (2004) correction), an uninformed outside bank faces a winner?s curse when competing with an informed inside bank. This paper examines the model?s prediction for observed interest rates at an inside vs. outside bank. Although the outside bank wins more bad firms than the inside bank, the winner?s curse also causes the outside rate conditional on firm type to be lower in expectation than the inside rate ...
Finance and Economics Discussion Series , Paper 2008-36

Journal Article
Designing effective auctions for treasury securities

Most discussions of treasury auction design focus on the choice between two methods for issuing securities--uniform-price or discriminatory auctions. Although auction theory and much recent research appear to favor the uniform-price method, most countries conduct their treasury auctions using the discriminatory format. What are the main issues underlying the debate over effective auction design?
Current Issues in Economics and Finance , Volume 3 , Issue Jul

Working Paper
The multiple unit auction with variable supply

The theory of multiple unit auctions traditionally assumes that the offered quantity is fixed. I argue that this assumption is not appropriate for many applications because the seller may be able and willing to adjust the supply to the bidding. In this paper I address this shortcoming by analyzing a multi-unit auction game between a monopolistic seller who can produce arbitrary quantities at constant unit cost, and oligopolistic bidders. I establish the existence of a subgame-perfect equilibrium for price discriminating and for uniform price auctions. I also show that bidders have an ...
Finance and Economics Discussion Series , Paper 1998-28

Report
Selection bias, demographic effects, and ability effects in common value auction experiments

We find clear demographic and ability effects on bidding in common value auctions: inexperienced women are much more susceptible to the winner's curse than men, controlling for SAT/ACT scores and college major; economics and business majors substantially overbid relative to other majors; and those with superior SAT/ACT scores are much less susceptible to the winner's curse, with the primary effect coming from those with below median scores doing worse, as opposed to those with very high scores doing substantially better, and with composite SAT/ACT score being a more reliable predictor than ...
Staff Reports , Paper 213

Journal Article
Central bank dollar swap lines and overseas dollar funding costs

In the decade prior to the financial crisis, foreign banks? exposure to U.S.-dollar-denominated assets rose dramatically. When the crisis hit in 2007, the banks? access to dollar funding came under severe duress, with potentially dire consequences for global financial markets that could also spread to U.S. markets. The Federal Reserve responded in December 2007 by establishing temporary reciprocal currency swap lines, or facilities, with foreign central banks designed to ameliorate dollar funding stresses overseas. Drawing on rigorous analysis of the swaps, as well as insights of other ...
Economic Policy Review , Volume 17 , Issue May , Pages 3-20

Working Paper
The fragility of discretionary liquidity provision - lessons from the collapse of the auction rate securities market

We study the fragility of discretionary liquidity provision by major financial intermediaries during systemic events. The laboratory of our study is the recent collapse of the auction rate securities (ARS) market. Using a comprehensive dataset constructed from auction reports and intraday transactions data on municipal ARS, we present quantitative evidence that auction dealers acted at their own discretion as "market makers" before the market collapsed. We show that this discretionary liquidity provision greatly affected both net investor demand and auction clearing rates. Importantly, such ...
Finance and Economics Discussion Series , Paper 2010-50

Journal Article
Policy update : A new addition to the Fed's toolkit

Econ Focus , Volume 12 , Issue Win , Pages 8, 38

Journal Article
Going once, going twice, sold: auctions and the success of economic theory

It has been said that, "the value of anything is not what it cost to produce, but what you can get for it at an auction." The U.S. government's proving just that with its auctioning off of telecommunication license.
The Regional Economist , Issue Jan , Pages 10-11

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