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The longer term refinancing operations of the ECB

Linzert, Tobias; Nautz, Dieter; Bindseil, Ulrich - 2004

This paper employs individual bidding data to analyze the empirical performance of the longer term re?nancing operations (LTROs) of the European Central Bank (ECB). We investigate how banks’ bidding behavior is related to a series of exogenous variables such as collateral costs, interest rate...

Persistent link: https://www.econbiz.de/10011604405

Structural Econometric Approach to Bidding in the Main Refinancing Operations of the Eurosystem

Ewerhart, Christian; Cassola, Nuno; Morana, Claudio - 2021

This paper contributes to the existing literature on central bank repo auctions. It is based on a structural …

Persistent link: https://www.econbiz.de/10013316900

Learning from prices: Amplification and business fluctuations

Chahrour, Ryan; Gaballo, Gaetano - 2017

We provide a new theory of expectations-driven business cycles in which consumers' learning from prices dramatically alters the effects of aggregate shocks. Learning from prices causes changes in aggregate productivity to shift aggregate beliefs, generating positive price-quantity comovement....

Persistent link: https://www.econbiz.de/10011804368

Learning from Prices : Amplification and Business Fluctuations

Chahrour, Ryan - 2017

Persistent link: https://www.econbiz.de/10012956266

Price effects of sovereign debt auctions in the Euro-zone: the role of the crisis

Beetsma, Roel; Giuliodori, Massimo; de Jong, Frank; … - 2013

increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present …

Persistent link: https://www.econbiz.de/10011605640

Trading ahead of Treasury auctions

Sigaux, Jean-David - 2021

sales such as Treasury auctions. In the model, risk-averse investors expect an uncertain increase in the net supply of a …

Persistent link: https://www.econbiz.de/10013315375

Price Effects of Sovereign Debt Auctions in the Euro-zone : The Role of the Crisis

Beetsma, Roel; Giuliodori, Massimo; Jong, Frank de; … - 2021

increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present …

Persistent link: https://www.econbiz.de/10013315717

The Relationship between Central Bank Auctions and Bill Market Liquidity

Bats, Joost; Hoondert, Jurian J.A - 2022

This paper investigates the relationship between central bank (reverse) auctions and bill market liquidity. The … analysis includes data on the purchases of bills in the auctions by the Dutch Central Bank under the European Central Bank …’s Pandemic Emergency Purchase Programme (PEPP). The results indicate that auctions contribute to smooth market functioning. Two …

Persistent link: https://www.econbiz.de/10013403023

The microstructure of the euro money market

Hartmann, Philipp; Manna, Michele; Manzanares, Andrés - 2001

This paper provides the first empirical examination of the microstructure of the euro money market, using tick data from brokers located in 6 countries. Special emphasis is put on the institutional environment (monetary policy decisions and their implementation, payment systems and private...

Persistent link: https://www.econbiz.de/10011604126

Bidding and performance in repo auctions: evidence from ECB open market operations

Nyborg, Kjell G.; Strebulaev, Ilya A.; Bindseil, Ulrich - 2002

We study bidder bahavior and performance in 53 main refinancing operations (repo auctions) of the European Central Bank … (ECB). The data set starts with the first auctions after the ECB changed from fixed rate tenders to variable rate tenders …. We find that private information and the winnner's curse are not important in these auctions. The minimum bid rate and …

Persistent link: https://www.econbiz.de/10011604203