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Auctions in financial markets

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  • Kastl, Jakub

Abstract

In this article I discuss how auctions and tools developed for their empirical analysis can inform empirical analysis of financial markets. Since virtually all markets organized as auctions have well-specified and known rules that map nicely into game-theoretical models, I demonstrate using several applications that one can often leverage particular details to study issues that have nothing to do with the auction per se. To do so, I first review an estimation method, which is widely applicable in many settings where a researcher needs to recover agents’ beliefs, in order to establish a link between observables and unobservables using some version of a necessary condition for optimality. I then discuss applications to quantification of front-running, evaluation of quantitative easing operations and estimation of a demand system for financial products.

Suggested Citation

  • Kastl, Jakub, 2020. "Auctions in financial markets," International Journal of Industrial Organization, Elsevier, vol. 70(C).
    • Handle: RePEc:eee:indorg:v:70:y:2020:i:c:s0167718719300876
    DOI: 10.1016/j.ijindorg.2019.102559
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    1. Laséen, Stefan, 2023. "Central bank asset purchases: Insights from quantitative easing auctions of government bonds," Working Paper Series 419, Sveriges Riksbank (Central Bank of Sweden).
    2. Samuel Häfner, 2023. "Risk aversion in share auctions: Estimating import rents from TRQs in Switzerland," Quantitative Economics, Econometric Society, vol. 14(2), pages 419-470, May.

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