| The first chapter of this dissertation studies a Walrasian double auction introduced in Kyle (1989). By the way of an example, I find that inefficient equilibria can persist in the these auctions even when M, the number of traders, grows without limits. However, if there is a single price-taking noise trader, essentially all differentiable and strictly monotone equilibria converge to their Walrasian limits at the rate 1/M. Moreover; the expected inefficiency falls at the even faster quadratic rate.; The second chapter studies identification on first-price auctions with asymmetric bidders. In this chapter, I formulate necessary and sufficient conditions for the distribution of the bids to be compatible with an affiliated values model. I show that every model with common values is observationally equivalent to some affiliated private values model. I then use these results to derive non-parametric identification bounds on the expected value of the object. Finally, I show that bidding strategies in first-price and second-price auctions are identified only up to a monotone transformation. Nevertheless, as I further demonstrate, by treating bids as signals one can in principle solve for possible distributions of the bids in the second-price auction from the knowledge of such distribution in the first-price auction, and hence to perform revenue comparisons.; The third chapter applies auction theory to municipal bond auctions held in California from 1998 to 2001. Without assuming bidder symmetry, a general method of identifying market power and the winner's curse effects is presented. Based on this method, a semi-parametric estimation method is suggested. Empirically, I find that the data support the model with common values. The bid shading (spread) in these auctions is found to be {dollar}12–{dollar}16 per {dollar}1000 of the face value of the bond. The winner's curse effect is estimated to be about 70%–80% of the total bid shading (50%–70% for the winning bids). Moreover, we found that smaller bidding syndicates shade their bids more and suffer more from the winner's curse than larger syndicates do. |
