Testing for Common Values in Canadian Treasury Bill Auctions

We develop a test for common values in auctions in which some bidders possess information about rivals’ bids. This information causes a bidder to bid differently when she has a private value than when her value depends on rivals’ information. In a divisible good setting, such as treasury bill auctions, bidders with private values who obtain information about rivals’ bids use this information only to update their prior about the distribution of residual supply. In the model with a common value component, they also update their prior about the value of the good being auctioned.We apply the data from the Canadian treasury bill market, where some bidders have to route their bids through dealers who also submit bids on their own. Furthermore, we use the structural model to estimate the value of customer order flow to a dealer. We find that the extra information contained in customers’ bids leads on average to an increase in payoff equal to about 0.5 of a basis point, or 32% of the expected surplus of dealers from participating in these auctions.multiunit auctions, treasury auctions, structural estimation, nonparametric identification and estimation, test for common value

Analyzing Default Risk and Liquidity Demand during a Financial Crisis: The Case of Canada

This paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis. We use data from the Canadian financial system to show that these publicly available risk measures, while indicative of initial problems of the financial system as a whole, do not seem to correspond to risks implied by the cross-sectional heterogeneity in bank behavior in short-term lending markets. Strategies in, and reliance on the payments system as well as special liquidity-supplying tools provided by the central bank seem to be more important additional indicators of distress of individual banks, or lack thereof than the CDSs. It therefore seems that central banks should utilize high-frequency data on liquidity demand to obtain a better picture of financial health of individual participants of the financial system.Financial Institutions; Financial markets; Payment, clearing, and settlement systems

Delegation and R&D Spending: Evidence from Italy

We use data from the Italian manufacturing industry to document a positive relation- ship between delegation of decisions within organizations and involvement in research and development. This positive correlation is robust to controlling for the determi- nants of R&D within firms such as the level of human capital, capital intensity, sec- toral and regional effects and to using different measures of R&D. We also investigate the determinants of delegation in our sample. We find a positive correlation between ownership concentration and delegation, which goes against the findings of Shleifer and Vishny (1986). We also find that variables found as important determinants of delegation in French manufacturing by Acemoglu, Aghion, Lelarge, Van Reenen and Zilibotti (2007) do not appear important in our sample, and some even exhibit qualita- tively opposite effect. These disparities can perhaps be explained by differences in the studied samples and observed variables, and call for further studies of cross-country differences.R&D, Delegation, Ownership Concentration, Asymmetric Information

DC-DC Converter Microcomputer Control Unit

Tato bakalářská práce řeší realizaci softwaru pro mikrokontrolér AT89S52, který je následně připojen k výkonové jednotce pulzního měniče. Na výstup pulzního měniče se poté připojí odporová a motorická zátěž. Zdrojový kód byl celý vytvořen v assembleru pomocí programu Keil. Algoritmus pro řízení pulzního měniče je bipolární i unipolární. Podařilo se docílit velmi velké přesnosti požadované frekvence a střídy. Odchylka není větší než 1%. První kapitola popisuje výukový systém, na kterém se nachází mikrokontrolér AT89S52, co všechno obsahuje a základní parametry. Další kapitola charakterizuje výkonovou jednotku, princip pulzního měniče, metody řízení a jejich rozdíly. V třetí části je popsán software, zobrazeny diagramy programu a také ovládání. Následující a poslední část zobrazuje naměřené výsledky. V této kapitole se ověřuje funkčnost softwaru a popisují důležité veličiny při různých zátěžích.This bachelor thesis solves the implementation of software for microcontroller AT89S52, which is then connected to the DC-DC converter. On the output of DC-DC converter is connected to resistive and motoric loads. Source code was created in the assembler using the program Keil. Algorithm for controlling DC-DC converter is bipolar and unipolar. I was able to achieve very high accuracy desired frequency and duty cycle. Deviation is not greater than 1%. The first chapter describes the educational system which includes microcontroller AT89S52, his contain and basic parameters. Next chapter characterizes the performance unit, principle of DC-DC unit, methods of control and their differences. In the third part is described software, displayed diagrams and also control. Next and last part shows the measured results. In this chapter I verified the functionality of the software and describes the important value at different loads.430 - Katedra elektronikyvýborn

"When Should Manufacturers Want Fair Trade?": New Insights from Asymmetric Information

We study a specific model of competing manufacturer-retailer pairs where adverse selection and moral hazard are coupled with non-market externalities at the downstream level. In this simple framework we show that a “laissez- faire" approach towards vertical price control might harm consumers as long as privately informed retailers impose non-market externalities on each other. Giving manufacturers freedom to control retail prices harms consumers when retailers impose positive non-market externalities on each other, and the converse is true otherwise. Moreover, in contrast to previous work, we show that, in these instances, consumers' and suppliers' preferences over contractual choices are not necessarily aligned.Competing hierarchies, resale price maintenance, retail externalities

The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds

In this paper we study European banks’ demand for short-term funds during the 2007 subprime market crisis. We use bidding data from the European Central Bank’s auctions for one-week loans. Through a model of bidding, we show that bank behavior reflects the cost of obtaining short-term funds elsewhere as well as a strategic response to other bidders. We find considerable heterogeneity across banks in their willingness to pay for short-term funds supplied in these auctions. Accounting for the strategic component is important: while a naive interpretation of the raw bidding data may suggest that virtually all banks suffered a dramatic increase in the cost of obtaining funds in the interbank market, we find that for about one third of the banks, the change in bidding behavior was simply a strategic response. Using a complementary dataset, we also find that bank pre-turmoil liquidity costs, as estimated by our model, are predictive of their post-turmoil liquidity costs, and that there is considerable heterogeneity in these costs with respect to the country-of-origin. Finally, among the publicly traded banks, the willingness to pay for short-term funds in the second half of 2007 are predictive of stock prices in late 2008.multiunit auctions, primary market, structural estimation, subprime market, liquidity crisis

The 2007 subprime market crisis through the lens of European Central Bank auctions for short-term funds

We study European banks’ demand for short-term funds (liquidity) during the summer 2007 subprime market crisis. We use bidding data from the European Central Bank’s auctions for one-week loans, their main channel of monetary policy implementation. Our analysis provides a high-frequency, disaggregated perspective on the 2007 crisis, which was previously studied through comparisons of collateralized and uncollateralized interbank money market rates which do not capture the heterogeneous impact of the crisis on individual banks. Through a model of bidding, we show that banks’ bids reflect their cost of obtaining short-term funds elsewhere (e.g., in the interbank market) as well as a strategic response to other bidders. The strategic response is empirically important: while a naïve interpretation of the raw bidding data may suggest that virtually all banks suffered an increase in the cost of short-term funding, we find that for about one third of the banks, the change in bidding behavior was simply a strategic response. We also find considerable heterogeneity in the short-term funding costs among banks: for over one third of the bidders, funding costs increased by more than 20 basis points, and funding costs vary widely with respect to the country-of-origin. Estimated funding costs of banks are also predictive of market- and accounting-based measures of bank performance, suggesting the external validity of our findings. JEL Classification: D44, E58, G01liquidity crisis, Multiunit auctions, primary market, structural estimation, subprime market