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Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations
Nyborg, Kjell G.; Bindseil, Ulrich; Strebulaev, Ilya A. - 2005
Repo auctions are used to inject central bank funds against collateral into the banking sector. The ECB uses standard … suggests that bidders are concerned with the loser's nightmare and have limited amounts of the cheapest eligible collateral. …
Persistent link: https://www.econbiz.de/10010312552
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Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations
Bindseil, Ulrich; Nyborg, Kjell G; Strebulaev, Ilya - C.E.P.R. Discussion Papers - 2004
bidders are more concerned with the loser’s nightmare, collateral, and future interest rate reductions by the ECB. Small and …
Persistent link: https://www.econbiz.de/10005067452
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Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations
Bindseil, Ulrich; Nyborg, Kjell G.; Strebulaev, Ilya A. - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2005
Repo auctions are used to inject central bank funds against collateral into the banking sector. The ECB uses standard … suggests that bidders are concerned with the loser’s nightmare and have limited amounts of the cheapest eligible collateral. …
Persistent link: https://www.econbiz.de/10005645022
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Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations
Nyborg, Kjell G.; Bindseil, Ulrich; Strebulaev, Ilya A. - Fondazione ENI Enrico Mattei (FEEM) - 2005
Repo auctions are used to inject central bank funds against collateral into the banking sector. The ECB uses standard … suggests that bidders are concerned with the loser’s nightmare and have limited amounts of the cheapest eligible collateral. …
Persistent link: https://www.econbiz.de/10005570335
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Structural econometric approach to bidding in the main refinancing operations of the Eurosystem
Cassola, Nuno; Ewerhart, Christian; Morana, Claudio - 2007
This paper contributes to the existing literature on central bank repoauctions. It is based on a structural econometric approach, whereby the primitives of bidding behavior (individual bid schedules and bid-shading components) are directly estimated. With the estimated parameters we calibrate a...
Persistent link: https://www.econbiz.de/10011604839
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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...
Persistent link: https://www.econbiz.de/10011604203
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Structural Econometric Approach to Bidding in the Main Refinancing Operations of the Eurosystem
Morana, Claudio - 2013
This paper contributes to the existing literature on central bank repo auctions. It is based on a structural econometric approach, whereby the primitives of bidding behavior (individual bid schedules and bid-shading components) are directly estimated. With the estimated parameters we calibrate a...
Persistent link: https://www.econbiz.de/10012754119
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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 econometric approach, whereby the primitives of bidding behavior (individual bid schedules and bid-shading components) are directly estimated. With the estimated parameters we calibrate a...
Persistent link: https://www.econbiz.de/10013316900
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MRO bidding in the presence of LTROs: an empirical analysis of the pre-crisis period
Vogel, Edgar - 2014
Using individual data from the Eurosystem’s liquidity providing tenders for the pre-crisis period we investigate banks’ joint bidding behaviour in Main Refinancing Operation (MRO) and Longer Term Refinancing Operations (LTRO). We test whether banks bid at lower rates in MROs before the LTRO...
Persistent link: https://www.econbiz.de/10011605798
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Bidding and Performance in Repo Auctions : Evidence from ECB Open Market Operations
Nyborg, Kjell G. - 2005
Repo auctions are used to inject central bank funds against collateral into the banking sector. The ECB uses standard … suggests that bidders are concerned with the loser's nightmare and have limited amounts of the cheapest eligible collateral …
Persistent link: https://www.econbiz.de/10012736260