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L'économétrie fonctionnelle des enchères multi-unitaires: une application au marché de l'électricité de New York

Date
Jeudi 1er mars 2018
11:30 à 12:30

Contact
Juan A Gomez-Herrera

Lieu
M-2109
2700, chemin de la Tour
Montréal, QC Canada
H3T 1J4

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Consulté 445 fois
L'économétrie fonctionnelle des enchères multi-unitaires: une application au marché de l'électricité de New York

This paper proposes a novel approach for the 
empirical analysis of multi-unit auctions, to which participants submit 
supply or demand functions observable by the econometrician. The approach 
allows for the evaluation of firm-level market power in a private 
information setting, and avoids having to model the market mechanism. It 
relies on econometric methods that treat the observed bid functions as 
function-valued random elements. Notably, a functional instrumental variable 
estimator is developed. The method is applied to the New York electricity 
market using rich data on firm-level bids and marginal costs for 2013-2015. 
In this market, daily bids are disclosed three months later in order to 
limit strategic behaviors. I estimate firm-level market power and compare 
actual bidding behavior to profit-maximizing behavior under private 
information. I find consistent evidence of strategic bidding, suggesting 
that firms are well aware of their own market power and behave accordingly. 
Therefore, the late disclosure of bids is not sufficient to preclude firms 
from acting strategically, most likely due to the repeated nature of those 
auctions.

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