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Overbidding in Fixed Rate Tenders - An Empirical Assessment of Alternative Explanations

Nautz, Dieter; Oechssler, Jörg - 2003

This paper investigates various theories explaining banks' overbidding in the fixed rate tenders of the European … explain the observed overbidding. This implies that the proposed new rules by the ECB, aimed at neutralizing interest rate … expectations, would not eliminate overbidding if the rationing rule in the fixed rate tenders remains unchanged. …

Persistent link: https://www.econbiz.de/10010263082

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

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

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

The price of liquidity: bank characteristics and market conditions

Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - 2009

We study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique to this paper, we also have data on individual banks' reserve requirements and actual reserve holdings, thus allowing us to gauge the extent to which a bank is short or long...

Persistent link: https://www.econbiz.de/10010264580

The price of liquidity: bank characteristics and market conditions

Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - 2008

Persistent link: https://www.econbiz.de/10010298747

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 discriminatory auctions and hundreds of banks participate. The amount auctioned over the monthly reserve maintenance period is in principle exactly what banks collectively need...

Persistent link: https://www.econbiz.de/10010312552

The Repo Auctions of the European Central Bank and the Vanishing Quota Puzzle

Nautz, Dieter; Oechssler, Jörg - 2001

switch to the variable rate tender format. This paper investigates the overbidding phenomenon from a theoretical and an …

Persistent link: https://www.econbiz.de/10010317632

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

Cassola, Nuno; Ewerhart, Christian; Morana, Claudio - International Centre for Economic Research (ICER) - 2006

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/10004972538

Informational Free Rides in Uniform Price Auctions: Exception or Norm?

Daripa, Arup - EconWPA - 2005

Multi-unit common value uniform price auctions with demand function bids are in widespread use. I analyze this auction when there is an informed bidder and other uninformed bidders. In such auctions it is easy to construct equilibria in which uninformed bidders earn a positive payoff by free...

Persistent link: https://www.econbiz.de/10005135063

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