Revenue‐Maximizing Mechanism Choice in Divisible Good Auctions: An Empirical Analysis of the Thai Treasury Auction Market
Abstract/Contents
- Abstract
- An important question that prevails in the theory of divisible-good auctions is to determine whether a discriminatory auction yields higher revenues to the auctioneer than a uniform price auction or Vickrey auction. One way to answer this question empirically is to use estimates of the bidders’ true marginal valuations on the auctioned goods. This Honors Thesis conducts empirical studies of revenue comparisons under discriminatory and uniform price auction mechanisms and the studies of collusion on winning bid data from Thai Treasury bill auctions in 2008 and 2010. This Honors Thesis is one of the first to perform an empirical analysis using a structural econometric approach suggested by the recently developed approximate Linear Bayesian demand function equilibria (LBDFE) by [Ollikka(2011)] to estimate the model primitives and bidder valuations and simulate counterfactual auction outcomes from estimated structural parameters, then make analysis similar to methods in [Horta¸csu and Mcadams(2010)] and [Kastl(2011)]. Bank of Thailand currently employs discriminatory auctions in distributing Treasury bills. But results are generally in favor of uniform price mechanism except for those auctions with longer maturities where both auction mechanisms perform equivalently. However, practical auction experiments are necessary since the analysis modified from [Athey et al.(2011)Athey, Levin, and Seira] suggest the existence of collusion opportunities, which would not allow the uniform price mechanism to outperform the discriminatory one. Moreover, this Honors Thesis provides an indicative regression-based test for valuation implied by the data. The approaches suggested in this Honors Thesis can be extended to analyze divisible-good auctions.
Description
| Type of resource | text |
|---|---|
| Date created | May 2013 |
Creators/Contributors
| Author | Ariyathugun, Triwit |
|---|---|
| Primary advisor | Hong, Han |
| Degree granting institution | Stanford University, Department of Economics |
Subjects
| Subject | Stanford Department of Economics |
|---|---|
| Subject | Multi-unit auctions |
| Subject | Treasury auctions |
| Subject | Collusion |
| Genre | Thesis |
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Preferred citation
- Preferred Citation
- Ariyathugun, Triwit. (2013). Revenue‐Maximizing Mechanism Choice in Divisible Good Auctions: An Empirical Analysis of the Thai Treasury Auction Market. Stanford Digital Repository. Available at: https://purl.stanford.edu/vv249gk2028
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Stanford University, Department of Economics, Honors Theses
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