Price instability in multi-unit auctions

• 成果类型: Article
• 署名作者: Anderson, Edward; Holmberg, Par
• 署名单位: University of Sydney; Research Institute of Industrial Economics (IFN); University of Cambridge
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2018.01.008
• 发表日期: 2018
• 页码: 318-341
• 关键词: Multi-unit auctions; Indivisible unit; Price instability; Supply function equilibria; Convergence of Nash equilibria; Wholesale electricity markets

摘要

We consider a uniform-price procurement auction with indivisible units and private independent costs. We find an explicit solution for a Bayesian Nash equilibrium, which is unique if demand shocks are sufficiently evenly distributed. The equilibrium has a price instability in the sense that a minor change in a supplier's realized cost can result in a drastic change in the market price. We quantify the resulting volatility and show that it is reduced as the size of indivisible units decreases. In the limit, the equilibrium converges to the Supply Function Equilibrium (SFE) for divisible goods if costs are common knowledge. (C) 2018 Elsevier Inc. All rights reserved.