Regulation and 3rd European Meeting on Networks for helpful comments. We are also grateful to Winnie van Dijk for valuable research assistance. Hortacsu acknowledges financial support from the NSF (SES-1124073 and ICES-1216083). Kastl acknowledges financial support from the NSF (SES-1123314 and SES-1352305) and the Sloan Foundation. The views expressed in this paper are our own and do not necessarily reflect the view of the European Central Bank or the National Bureau of Economic Research. All remaining errors are ours. NBER working papers are circulated for discussion and comment purposes. They have not been peerreviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

No abstract

En este artículo se propone un método numérico para la calibración de un modelo de equilibrio general dinámico y estocástico (dsge). Esencialmente, este consiste en utilizar un algoritmo híbrido de optimización, primero para encontrar un estado estacionario del modelo y luego para minimizar una función objetivo que se define según el propósito que tenga el investigador con el proceso de calibración. El algoritmo propuesto consiste en una aplicación del algoritmo de simulated annealing, seguido de métodos tradicionales de optimización. Las bondades del algoritmo se analizan mediante simulaciones de Monte * Los resultados y opiniones expresados en este trabajo son responsabilidad exclusiva de los autores y su contenido no compromete al Banco de la República ni a su Junta Directiva. Los autores agradecen a Lawrence Christiano, Fabio Canova, Douglas Laxton, Juan C. Parra, Sebastian Rassa y a los participantes del Central Bank Workshop (2008) por sus comentarios.

There are several financial markets where dealers trade a large share of total volume, while also having access to periodic auctions of the same asset conducted by a third party. For such a market, we derive a test of private information about the value of the asset that combines data on both bidding behavior and market trades. Our approach is to test for private versus common values, as defined in auction theory. We use changes in trading prices of extreme bidders before and after the auction to test the null hypothesis of private values (no private information) against the alternative of common values (private information). Additionally, we use a regression discontinuity design where we compare the behavior of dealers bidding right below and right above the auction's cutoff price to control for inventory effects, understood here as decreasing marginal valuations as functions of inventory. Our case study are foreign exchange auctions conducted by the Central Bank of Colombia during the period 2008-2014, and the corresponding interdealer market for the Colombian peso against the US dollar. Overall, the data does not reject the null hypothesis of private values. Specifically, information about other bidders' valuations has no significant effect on trading prices, not even shortly after the auction takes place.

Auction theory has ambiguous implications regarding the relative efficiency of three formats of multiunit auctions: uniform-price, discriminatory-price, and Vickrey auctions. We empirically evaluate the performance of these three auction formats using the bid-level data of the Federal Reserve's purchase auctions of agency mortgage-backed securities (MBS) from June 1, 2014 through November 17, 2014. We estimate marginal cost curves for all dealers, at each auction, based on structural models of the multiunit discriminatory-price auction. Our preliminary results suggest that neither uniformprice nor Vickrey auctions outperform discriminatory-price auctions in terms of the total expenditure. However, they do outperform it in terms of efficiency, with efficiency gains around 0.74% of the surplus that dealers extract. We caution that our empirical estimation and analysis involve technical assumptions made about the specific auction mechanism the Federal Reserve uses and how auction participants perceive the auction mechanism, both of which may be distinct from practice and may alter the conclusions substantively. * The analysis and conclusions set forth are those of the authors and do not indicate concurrence by the Federal Reserve System. In particular, discussions of the institutional setup of the Federal Reserve's auction mechanism are only based on the information published on the website of the Federal Reserve Bank of New York. We are grateful to Michelle Ezer, Linsey Molloy, and Min Wei for helpful discussions.