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Resolving filed banks : uncertainty, multiple bidding & auction design

Allen, Jason; Clark, Robert; Hickman, Brent; Richert, Eric - 2019

The Federal Deposit Insurance Corporation (FDIC) resolves insolvent banks using an auction process in which bidding is … mechanism could be improved. To do so, we propose a methodology for analyzing auction environments where bids are ranked …

Persistent link: https://www.econbiz.de/10012058919

Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity

Grundl, Serafin; Zhu, Yu - 2016

This paper shows point identification in first-price auction models with risk aversion and unobserved auction … heterogeneity by exploiting multiple bids from each auction and variation in the number of bidders. The required exclusion … samples and that ignoring unobserved auction heterogeneity can lead to a significant bias in risk-aversion estimates. In an …

Persistent link: https://www.econbiz.de/10011459165

Entry and exit in treasury auctions

Allen, Jason; Hortaçsu, Ali; Richert, Eric; Wittwer, Milena - 2024 - Last updated: July 31, 2024

Many financial markets are populated by dealers, who commit to participate regularly in the market, and non-dealers, who do not commit. This market structure introduces a trade-off between competition and volatility, which we study using data on Canadian treasury auctions. We document a...

Persistent link: https://www.econbiz.de/10015067153

Inference in games without Nash equilibrium : an application to restaurants' competition in opening hours

Xie, Erhao - 2018

This paper relaxes the Bayesian Nash equilibrium (BNE) assumption commonly imposed in empirical discrete choice games with incomplete information. Instead of assuming that players have unbiased/correct expectations, my model treats a player's belief about the behavior of other players as an...

Persistent link: https://www.econbiz.de/10011946942

Testing collusion and cooperation in binary choice games

Xie, Erhao - 2023 - Last updated: November 27, 2023

This paper studies the testable implication of players' collusive or cooperative behaviours in a binary choice game with complete information. In this paper, these behaviours are defined as players coordinating their actions to maximize the weighted sum of their payoffs. I show that this...

Persistent link: https://www.econbiz.de/10014456725

Monetary payoff and utility function in adaptive learning models

Xie, Erhao - 2019

This paper focuses on econometric issues, especially the common assumption that monetary payoff is subjects' actual utility, in estimating subjects' learning behaviors using experimental data. I propose a generalized adaptive learning model that nests commonly used learning rules. First, I show...

Persistent link: https://www.econbiz.de/10012137082

Non-parametric identification and testing of quantal response equilibrium

Hoelzemann, Johannes; Webb, Ryan; Xie, Erhao - 2024 - Last updated: June 17, 2024

We study the falsifiability and identification of Quantal Response Equilibrium (QRE) when each player's utility and error distribution are relaxed to be unknown non-parametric functions. Using variations of players' choices across a series of games, we first show that both the utility function...

Persistent link: https://www.econbiz.de/10014563000

Nonparametric identification of incomplete information : discrete games with non-equilibrium behaviors

Xie, Erhao - 2022 - Last updated: May 11, 2022

In the literature that estimates discrete games with incomplete information, researchers usually impose two assumptions. First, either the payoff function or the distribution of private information or both are restricted to follow some parametric functional forms. Second, players' behaviors are...

Persistent link: https://www.econbiz.de/10013193435

Comparison of auction formats in Canadian government auctions

Armantier, Olivier (contributor); … - 2009

Using a rich sample of Canadian government securities auctions, we estimate the structural parameters of a share-auction … to the uniform-price format in terms of the revenue generated by the Canadian government. Both auction formats, however …

Persistent link: https://www.econbiz.de/10003804315