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We explore the impact of private information in sealed-bid first-price auctions. For a given symmetric and arbitrarily correlated prior distribution over values, we characterize the lowest winning-bid distribution that can arise across all information structures and equilibria. The information and equilibrium attaining this minimum leave bidders indifferent between their equilibrium bids and all higher bids. Our results provide lower bounds for bids and revenue with asymmetric distributions over values. We also report further characterizations of revenue and bidder surplus including upper bounds on revenue. Our work has implications for the identification of value distributions from data on winning bids and for the informationally robust comparison of alternative auction mechanisms.

A patient player privately observes a persistent state and interacts with an infinite sequence of myopic uninformed players. The patient player is either a strategic type who maximizes his payoff or one of several commitment types who mechanically play the same action in every period. I focus on situations in which the uninformed player’s best reply to a commitment action depends on the state and where the total probability of commitment types is sufficiently small. I show that the patient player’s equilibrium payoff is bounded below his commitment payoff in some equilibria under some of his payoff functions. This is because he faces a trade-off between building his reputation for commitment and signaling favorable information about the state. When players’ stage-game payoff functions are monotone-supermodular, the patient player receives high payoffs in all states and in all equilibria. Under an additional condition on the state distribution, my reputation model yields a unique prediction on the patient player’s equilibrium payoff and on-path behavior.

In this article, we provide mechanisms for exchange economies with private information and interdependent values, which are ex post individually rational, incentive compatible, generate budget surplus, and are ex post nearly efficient, with many agents. Our framework is entirely prior-free, and we make no symmetry restrictions. The mechanisms can be implemented using a novel discriminatory conditional double auction, without knowledge of information structure or utility functions. We also show that no other mechanism satisfying the constraints can generate inefficiency of smaller order.

A seller posts a price for a single object. The seller's and buyer's values may be interdependent. We characterize the set of payoff vectors across all information structures. Simple feasibility and individual‐rationality constraints identify the payoff set. The buyer can obtain the entire surplus; often, noninformational mechanisms cannot enlarge the payoff set. We also study payoffs when the buyer is more informed than the seller, and when the buyer is fully informed. All three payoff sets coincide (only) in notable special cases—in particular, when there is complete breakdown in a “lemons market” with an uninformed seller and fully informed buyer.

This paper studies multilateral trading problems in which agents’ valuations for items are interdependent. Assuming that each agent’s information has a greater marginal effect on her own valuation than on the other agents’ valuations, the paper identifies a necessary and sufficient condition for the existence of trading mechanisms satisfying efficiency, ex-post incentive compatibility, ex-post individual rationality, and ex-post budget balance. The paper presents a trading mechanism that satisfies the four properties when the necessary and sufficient condition holds and shows that this mechanism maximizes the ex-post budget surplus among all efficient, ex-post incentive compatible, and ex-post individually rational trading mechanisms. The paper examines an environment where each agent can possess at most one unit of an item, and her information about the item is one-dimensional. It then extends the results to two general environments: the multiple units environment and the multidimensional information environment.

We study ex post implementation in collective decision problems where monetary transfers cannot be used. We find that deterministic ex post implementation is impossible if the underlying environment is neither almost an environment with private values nor almost one with common values. Thus, desirable properties of ex post implementation such as informational robustness become difficult to achieve when preference interdependence and preference heterogeneity are both present in the environment.

Consider a first-price, sealed-bid auction with interdependent valuations and private budget constraints. Focusing on the two-bidder case, we identify new sufficient conditions for the existence of a symmetric equilibrium in pure strategies. In equilibrium, agents may adopt discontinuous bidding strategies resulting in a stratification of competition along the budget dimension. Private budgets can simultaneously lead to more aggressive bidding (a high-budget agent leverages his wealth to outbid rivals) and more subdued bidding (competition becomes less intense among bidders at distinct budget levels). The presence of budget constraints may lead to multiple symmetric equilibria in the first-price auction.

In a model with correlated and interdependent values/costs, we identify for the buyer’s bid double auction the asymptotic distributions of the price and of two order statistics in the first order conditions for optimal bidding/asking, all of which are normal. Substitution of the asymptotic distributions into the first order conditions can permit the solution for approximately optimal bids/asks that provide insight into what is “ first order” in a trader’s strategic decision-making, which has been difficult to obtain through analysis of equilibrium.

For a partnership model with general type distributions and interdependent values, we derive the optimal dissolution mechanisms that, for arbitrary initial ownership, maximize any convex combination of revenue and social surplus. The solution involves ironing around typically interior worst-off types, which are endogenously determined. The optimal ownership structures are such that, with identical distributions, equal shares are always optimal. With non-identical distributions, the optimal shares are typically asymmetric; the identity of the agents with large shares may change with the importance of revenue generation; and even fully concentrated initial ownership, and assigning zero shares to the strongest agents, can be optimal.

We study a double auction environment where buyers and sellers have interdependent valuations and multi-unit demand and supply. We propose a new mechanism that satisfies ex post incentive compatibility, individual rationality, feasibility, nonwastefulness, and no budget deficit. Moreover, this mechanism is asymptotically efficient in that the trade outcome in the mechanism converges to the efficient level as in a competitive equilibrium as the numbers of the buyers and sellers become large. Our mechanism is the first double auction mechanism with these properties in the interdependent values setting.