ChAuctions中級微觀經(jīng)濟學清華大學鐘笑寒實用

會計學1ChAuctions中級微觀經(jīng)濟學清華大學鐘笑寒實用MarketMechanismsInourequilibriumanalysis,wesimplyassumeacompetitivemarket:Eachagentisaprice-taker.Pricesadjustuntildemandequalssupply–‘equilibrium’priceandquantity.ParetoEfficiencyisachievedthen.Buthowisthishypotheticmarketrelevanttoreal-worldmarketmechanisms?第1頁/共39頁MarketMechanismsEconomistsstudymarketmechanismsbasicallythroughtwoapproaches.Theoretically,westudysomewell-definedmarketmechanismsesp.auctions,togiveussomeideasongeneralmarketmechanisms.Empirically,wetestcompetitivemarkethypothesisthroughsomewell-designedexperimentalmarketmechanisms.第2頁/共39頁MarketMechanismsVernonSmith(the2002Nobellaureate)oncesetupanexperimentinaso-calleddoubleoralauction,amarketmechanismsusedinmanyfinancialandcommoditymarkets.Subjectswererandomlyassignedtherolesofsellerandbuyer.Eachsellerwasgivenoneunitofthegoodtobesold,andareservationpricevforthisunit,whichisherownprivateinformation.Eachbuyerwasalsoassignedaprivatereservationpricew.第3頁/共39頁第4頁/共39頁MarketMechanismsSmithconcludedthat“…therearestrongtendenciesfora…competitiveequilibriumtobeattainedaslongasoneisabletoprohibitcollusionandtomaintainabsolutepublicityofallbids,offers,andtransactions.…Changesintheconditionsofsupplyanddemandcausechangesinthevolumeoftransactionperperiodandthegenerallevelofcontractprices.Theselattercorrespondreasonablywellthepredictionsofcompetitivepricetheory.”第5頁/共39頁WhyStudyAuctions?Byproceedingfromsimplertomorecomplexauctionforms,theoryhasdeepenedourunderstandingofthefunctioningofmanyreal-worldmarkets.Evensomeofthesimplerauctionformsstudiedintheoryarewidelyusedinpractice,particularlyinthecontextofderegulationandprivatizationofnaturalmonopolies,publicprocurement,thesaleofgovernmentbonds,etc.第6頁/共39頁WhoUsesAuctions?Ownersofart,cars,stamps,machines,mineralrightsetc.Q:Whyauction?第7頁/共39頁WhoUsesAuctions?Ownersofart,cars,stamps,machines,mineralrightsetc.Q:Whyauction?A:Becausemanymarketsareimperfectanditishardtodiscoverpotentialbuyers’truevaluationsofyourasset.Auctionshelptodiscoverthisinformation.第8頁/共39頁TypesofAuctionsEnglishauction:bidsarepublicannouncementsbidpricerisesuntiltherearenofurtherbidshighestbidwinswinnerpayshisbid.第9頁/共39頁TypesofAuctionsSealed-bidfirst-priceauction:bidsareprivateinformationbidsaremadesimultaneouslyhighestbidwinswinnerpayshisbid.第10頁/共39頁TypesofAuctionsSealed-bidsecond-priceauction:bidsareprivateinformationbidsaremadesimultaneouslyhighestbidderwinswinnerpayssecond-highestbidalsoknownasaVickreyauction.第11頁/共39頁TypesofAuctionsDutchauction:auctioneerannouncesahighbidandthengraduallylowersthebidfirstbuyertoacceptwinsandpaysthatprice.第12頁/共39頁ReservePriceAsellerspecifiedbidlevelbelowwhichnosaleismade.第13頁/共39頁Economists’ClassificationofAuctionsPrivate-valueauctions:everypotentialbuyerknowsforsureherownvaluationoftheitemforsalealltheseindividualvaluationsareindependentofeachother.第14頁/共39頁Economists’ClassificationofAuctionsCommon-valueauctions:itemforsalehasthesamevaluetoeverypotentialbuyerpotentialbuyersdifferintheirownestimatesofthiscommonvalue.第15頁/共39頁AuctionDesignGoals:Paretoefficiencymaximizationoftheseller’sprofit.第16頁/共39頁AuctionDesignParetoefficiency:theitemmustselltothebuyerwiththehighestvaluationoftheitem.WhichauctionsareParetoefficient?第17頁/共39頁AuctionsandEfficiencyEnglishauctionwithnoreservepricemustbeefficientsince,ifabuyerwithalowvaluationwasabouttobuy,thehighestvaluationbuyerwouldbidhigher.第18頁/共39頁AuctionsandEfficiencyEnglishauctionwithareservepriceneednotbeefficientsinceifthereservepriceissetabovethe(unknowntotheseller)highestbuyervaluation,thentherewillbenosaleandsonogains-to-trade.第19頁/共39頁AuctionsandEfficiencyDutchauctionneednotbeefficient.Nobuyerknowsotherbuyers’valuations,sothehighestvaluationbuyermaydelaytoolongandlosetoanotherbidder.第20頁/共39頁AuctionsandEfficiencySealed-bidfirst-priceauctionneednotbeefficient.Nobuyerknowsotherbuyers’valuations,sothehighestvaluationbuyermaybidtoolowandlosetoanotherbidder.第21頁/共39頁AuctionsandEfficiencySealed-bidsecond-priceauctionisParetoefficienteventhoughnobuyerknowstheotherbuyers’valuations(moreonthislater).第22頁/共39頁WhyUseaReservePrice?Supposethereare2buyers.Thesellerbelieveseachbuyer’svaluationis$20withchance1/2and$50withchance1/2.第23頁/共39頁WhyUseaReservePrice?I.e.withchance1/4each,thesellerbelievesshefacesbuyervaluations($20,$20),($20,$50),($50,$20)and($50,$50).UseanEnglishauction.Bidsmustberaisedbyatleast$1.第24頁/共39頁WhyUseaReservePrice?Withchance1/4each,winningbidswillbe$20,$21,$21and$50ifthereisnoreserveprice.Seller’sexpectedrevenueis

($20+$21+$21+$50)/4=$28

withnoreserveprice.第25頁/共39頁WhyUseaReservePrice?Setareservepriceof$50.Withchance1/4therewillbenosale.Withchance3/4thewinningbidwillbe$50.第26頁/共39頁WhyUseaReservePrice?Setareservepriceof$50.Withchance1/4therewillbenosale.Withchance3/4thewinningbidwillbe$50.Seller’sexpectedrevenueis第27頁/共39頁ReservePriceandEfficiencyThereservepricecausesanefficiencylosssince,withchance1/4,thereisnotrade.第28頁/共39頁Second-Price,Sealed-BidAuctionbidsareprivateinformationbidsaremadesimultaneouslyhighestbidderwinswinnerpayssecond-highestbidalsoknownasaVickreyauction.第29頁/共39頁Second-Price,Sealed-BidAuction

Nobidderknowsanyotherbidder’struevaluationoftheitemforsale.Yet,itisindividuallyrationalforeachbiddertostatetruthfullyhisownvaluation.Why?E.g.twobidderswithtruevaluationsv1andv2.第30頁/共39頁Second-Price,Sealed-BidAuctionE.g.twobidderswithtruevaluationsv1andv2.Bidsareb1andb2.Expectedgaintobidder1is第31頁/共39頁Second-Price,Sealed-BidAuctionExpectedgaintobidder1is

Howisthismaximized?Ifv1>b2,thenmaximizetheprob.ofwinning;i.e.setb1=v1.Ifv1<b2,thenminimizetheprob.ofwinning;i.e.setb1=v1.Eitherway,tellingthetruthisbest!第32頁/共39頁Second-Price,Sealed-BidAuctionSincetruth-tellingisbestforeverybidder,thehighestvaluationbidderwillwin.Hencethesecond-price,sealed-bidauctionisPareto-efficient.第33頁/共39頁Common-ValueAuctionsTheitemforsalehasthesamevaluetoeverypotentialbuyer.Potentialbuyersdifferintheirownestimatesofthiscommonvalue.Bidderi’sestimateis

whereisthecommonvalueandisbidderi’sestimationerror.第34頁/共39頁Common-ValueAuctionsBidderi’sestimateis

whereisthecommonvalueandisbidderi’sestimationerror.Ifeverybidistruthful,thewinneristhebidderwiththelargestestimationerrorsoatruthfulwinneronaveragepaysmorethanthetruevalue--thewinner’scurse.第35頁/共39頁Common-ValueAuctionsIfeverybidistruthful,thewinneristhebidderwiththelargestestimationerror--callitIfthenatruthfulwinneronaveragepaysmorethanthetruevalue--thewinner’scurse.Sobidsshouldonaveragebelessthani