Equilibrium bidding in the Eurosystem's open market operations
Author
Abstract
Suggested Citation
Note: 327704
Download full text from publisher
References listed on IDEAS
- Dieter Nautz & Jörg Oechssler, 2003.
"The Repo Auctions of the European Central Bank and the Vanishing Quota Puzzle,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 105(2), pages 207-220, June.
- Nautz, Dieter & Oechssler, Jörg, 1999. "The repo auctions of the European Central Bank and the vanishing quota puzzle," SFB 373 Discussion Papers 1999,79, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Nautz, Dieter & Oechssler, Jörg, 2001. "The Repo Auctions of the European Central Bank and the Vanishing Quota Puzzle," Bonn Econ Discussion Papers 9/2001, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Gabriel Pérez Quirós & Hugo Rodríguez, 2000.
"The daily market for funds in Europe: Has something changed with the EMU?,"
Economics Working Papers
474, Department of Economics and Business, Universitat Pompeu Fabra.
- Quiro, G.P. & Mendizabal, H.R., 2001. "The Daily Market for Funds in Europe: Has Something Changed with the EMU," Papers 67, Quebec a Montreal - Recherche en gestion.
- Pérez Quirós, Gabriel & Rodríguez Mendizábal, Hugo, 2001. "The daily market for funds in Europe: Has something changed with the EMU?," Working Paper Series 67, European Central Bank.
- Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February.
- Ayuso, Juan & Repullo, Rafael, 2001.
"Why did the banks overbid? An empirical model of the fixed rate tenders of the European Central Bank,"
Journal of International Money and Finance, Elsevier, vol. 20(6), pages 857-870, November.
- Ayuso, J. & Repullo, R., 2001. "Why Did the Banks Overbid? An Empirical Model of the Fixed Rate Tenders of the European Cental Bank," Papers 0104, Centro de Estudios Monetarios Y Financieros-.
- Juan Ayuso & Rafael Repullo, 2001. "Why Did the Banks Overbid? An Empirical Model of the Fixed Rate Tenders of the European Cental Bank," Working Papers wp2001_0104, CEMFI.
- Juan Ayuso & Rafael Repullo, 2001. "Why Did the Banks Overbid? An Empirical Model of the Fixed Rate Tenders of the European Central Bank," Working Papers 0105, Banco de España.
- Juan Ayuso & Rafael Repullo, 2003.
"A Model of the Open Market Operations of the European Central Bank,"
Economic Journal, Royal Economic Society, vol. 113(490), pages 883-902, October.
- Ayuso, J. & Repullo, R., 2000. "A Model of the Open Market Operations of the European Central Bank," Papers 0011, Centro de Estudios Monetarios Y Financieros-.
- Juan Ayuso & Rafael Repullo, 2000. "A Model of the Open Market Operations of the European Central Bank," Working Papers 0016, Banco de España.
- Juan Ayuso & Rafael Repullo, 2000. "A Model of the Open Market Operations of the European Central Bank," Working Papers wp2000_0011, CEMFI.
- Repullo, Rafael & Ayuso, Juan, 2000. "A Model of the Open Market Operations of the European Central Bank," CEPR Discussion Papers 2605, C.E.P.R. Discussion Papers.
- Issing,Otmar & Gaspar,Vitor & Angeloni,Ignazio & Tristani,Oreste, 2001.
"Monetary Policy in the Euro Area,"
Cambridge Books,
Cambridge University Press, number 9780521788885.
- Issing,Otmar & Gaspar,Vitor & Angeloni,Ignazio & Tristani,Oreste, 2001. "Monetary Policy in the Euro Area," Cambridge Books, Cambridge University Press, number 9780521783248, September.
- Hamilton, James D., 1998. "The supply and demand for Federal Reserve deposits," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 1-44, December.
- Bartolini, Leonardo & Bertola, Giuseppe & Prati, Alessandro, 2001.
"Banks' reserve management, transaction costs, and the timing of Federal Reserve intervention,"
Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1287-1317, July.
- Mr. Giuseppe Bertola & Mr. Leonardo Bartolini & Mr. Alessandro Prati, 2000. "Banks’ Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention," IMF Working Papers 2000/163, International Monetary Fund.
- Leonardo Bartolini & Giuseppe Bertola & Alessandro Prati, 2000. "Banks' reserve management, transaction costs, and the timing of the Federal Reserve intervention," Staff Reports 109, Federal Reserve Bank of New York.
- Leonardo Bartolini & Giuseppe Bertoli & Alessandro Prati, 2000. "Banks' Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention," Econometric Society World Congress 2000 Contributed Papers 0123, Econometric Society.
- Nyborg, Kjell G. & Strebulaev, Ilya A., 2001. "Collateral and short squeezing of liquidity in fixed rate tenders," Journal of International Money and Finance, Elsevier, vol. 20(6), pages 769-792, November.
- Breitung, Jorg & Nautz, Dieter, 2001. "The empirical performance of the ECB's repo auctions: evidence from aggregated and individual bidding data," Journal of International Money and Finance, Elsevier, vol. 20(6), pages 839-856, November.
- Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001.
"The microstructure of the euro money market,"
Journal of International Money and Finance, Elsevier, vol. 20(6), pages 895-948, November.
- Hartmann, Philipp & Manna, Michele & Manzanares, Andrés, 2001. "The microstructure of the euro money market," Working Paper Series 80, European Central Bank.
- Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001. "The Microstructure of the Euro Money Market," CEPR Discussion Papers 3081, C.E.P.R. Discussion Papers.
- Nautz, D., 1995. "Optimal bidding in multi-unit auctions with many bidders," Economics Letters, Elsevier, vol. 48(3-4), pages 301-306, June.
- Bindseil, Ulrich, 2001. "Central bank forecasts of liquidity factors: Quality, publication and the control of the overnight rate," Working Paper Series 70, European Central Bank.
- Bindseil, Ulrich & Seitz, Franz, 2001. "The supply and demand for Eurosystem deposits - The first 18 months," Working Paper Series 44, European Central Bank.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- repec:zbw:bofism:2003_026 is not listed on IDEAS
- Würtz, Flemming Reinhardt, 2003. "A comprehensive model on the euro overnight rate," Working Paper Series 207, European Central Bank.
- Kim, Suk-Joong & Nguyen, Do Quoc Tho, 2009.
"The spillover effects of target interest rate news from the U.S. Fed and the European Central Bank on the Asia-Pacific stock markets,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 415-431, July.
- Suk-Joong, Kim & Do Quoc Tho, Nguyen, 2008. "The spillover effects of target interest rate news from the U.S. Fed and the European Central Bank on the Asia-Pacific stock markets," MPRA Paper 17213, University Library of Munich, Germany.
- Sébastien Kraenzlin, 2007. "The characteristics and development of the Swiss franc repurchase agreement market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(2), pages 241-261, June.
- Ejerskov, Steen & Martin Moss, Clara & Stracca, Livio, 2003. "How does the ECB allot liquidity in its weekly main refinancing operations? A look at the empirical evidence," Working Paper Series 244, European Central Bank.
- Ewerhart, Christian, 2002. "A model of the Eurosystem's operational framework for monetary policy implementation," Working Paper Series 197, European Central Bank.
- Välimäki, Tuomas, 2006. "Why the marginal MRO rate exceeds the ECB policy rate?," Research Discussion Papers 20/2006, Bank of Finland.
- Välimäki, Tuomas, 2003. "Central bank tenders : Three essays on money market liquidity auctions," Scientific Monographs, Bank of Finland, number 26/2003.
- repec:zbw:bofrdp:2006_020 is not listed on IDEAS
- Moschitz, Julius, 2004. "The determinants of the overnight interest rate in the euro area," Working Paper Series 393, European Central Bank.
- Livio Stracca & Clara Martin Moss & Livio Stracca, 2004. "Demand and supply in the ECB's main refinancing operations," Money Macro and Finance (MMF) Research Group Conference 2003 94, Money Macro and Finance Research Group.
- Leonardo Bartolini & Alessandro Prati, 2003.
"The execution of monetary policy: a tale of two central banks [‘Estimating continuous-time stochastic volatility models of the short-term interest rate’],"
Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 18(37), pages 435-467.
- Leonardo Bartolini & Alessandro Prati, 2003. "The execution of monetary policy: a tale of two central banks," Staff Reports 165, Federal Reserve Bank of New York.
- Pérez Quirós, Gabriel & Sicilia, Jorge, 2002.
"Is the European Central Bank (and the United States Federal Reserve) predictable?,"
Working Paper Series
192, European Central Bank.
- Gabriel Pérez Quirós & Jorge Sicilia, 2002. "Is the European Central Bank (and the United States Federal Reserve) predictable?," Working Papers 0229, Banco de España.
- Välimäki, Tuomas, 2006. "Why the marginal MRO rate exceeds the ECB policy rate?," Bank of Finland Research Discussion Papers 20/2006, Bank of Finland.
- Ulrike Neyer & Jürgen Wiemers, 2004. "The Influence of a Heterogeneous Banking Sector on the Interbank Market Rate in the Euro Area," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(III), pages 395-428, September.
- tuomas välimäki, 2004. "Variable rate liquidity tenders," Macroeconomics 0405010, University Library of Munich, Germany.
- Mr. Romain M Veyrune & Guido della Valle & Shaoyu Guo, 2018. "Relationship Between Short-Term Interest Rates and Excess Reserves: A Logistic Approach," IMF Working Papers 2018/080, International Monetary Fund.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Giuseppe Bruno & Ernesto Maurizio Ordine & Antonio Scalia, 2005. "Banks� participation in the Eurosystem auctions and money market integration," Temi di discussione (Economic working papers) 562, Bank of Italy, Economic Research and International Relations Area.
- Ulrike Neyer & Jürgen Wiemers, 2004. "The Influence of a Heterogeneous Banking Sector on the Interbank Market Rate in the Euro Area," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(III), pages 395-428, September.
- Leonardo Bartolini & Alessandro Prati, 2003.
"The execution of monetary policy: a tale of two central banks [‘Estimating continuous-time stochastic volatility models of the short-term interest rate’],"
Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 18(37), pages 435-467.
- Leonardo Bartolini & Alessandro Prati, 2003. "The execution of monetary policy: a tale of two central banks," Staff Reports 165, Federal Reserve Bank of New York.
- Emilio Barucci & Claudio Impenna & Roberto Reno, 2003.
"The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system,"
Temi di discussione (Economic working papers)
475, Bank of Italy, Economic Research and International Relations Area.
- Emilio Barucci & Claudio Impenna & Roberto Reno, 2003. "The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System," CEIS Research Paper 24, Tor Vergata University, CEIS.
- Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001.
"The microstructure of the euro money market,"
Journal of International Money and Finance, Elsevier, vol. 20(6), pages 895-948, November.
- Hartmann, Philipp & Manna, Michele & Manzanares, Andrés, 2001. "The microstructure of the euro money market," Working Paper Series 80, European Central Bank.
- Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001. "The Microstructure of the Euro Money Market," CEPR Discussion Papers 3081, C.E.P.R. Discussion Papers.
- Ewerhart, Christian, 2002. "A model of the Eurosystem's operational framework for monetary policy implementation," Working Paper Series 0197, European Central Bank.
- Ewerhart, Christian & Cassola, Nuno & Valla, Natacha, 2012. "Overbidding in fixed rate tenders: The role of exposure risk," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 539-549.
- Nautz, Dieter & Oechssler, Jorg, 2006.
"Overbidding in fixed rate tenders--an empirical assessment of alternative explanations,"
European Economic Review, Elsevier, vol. 50(3), pages 631-646, April.
- Nautz, Dieter & Oechssler, Jörg, 2003. "Overbidding in Fixed Rate Tenders - An Empirical Assessment of Alternative Explanations," Bonn Econ Discussion Papers 10/2003, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Paolo Angelini, 2008.
"Liquidity And Announcement Effects In The Euro Area,"
Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 67(1), pages 1-20, March.
- Paolo Angelini, 2002. "Liquidity and Announcement Effects in the Euro Area," Temi di discussione (Economic working papers) 451, Bank of Italy, Economic Research and International Relations Area.
- Funaki, Yukihiko & Shino, Junnosuke & Uto, Nobuyuki, 2020.
"Vulnerability of fixed-rate funds-supplying operations to overbidding: An experimental approach,"
Global Finance Journal, Elsevier, vol. 46(C).
- Yukihiko Funaki & Junnosuke Shino & Nobuyuki Uto, 2019. "Vulnerability of Fixed-Rate Funds-Supplying Operations to Overbidding: An Experimental Approach," Working Papers 1903, Waseda University, Faculty of Political Science and Economics.
- Nuno Cassola & Claudio Morana, 2006.
"Volatility of interest rates in the euro area: Evidence from high frequency data,"
The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 513-528.
- Cassola, Nuno & Morana, Claudio, 2003. "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series 235, European Central Bank.
- Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001.
"The microstructure of the euro money market,"
Journal of International Money and Finance,
Elsevier, vol. 20(6), pages 895-948, November.
- Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001. "The Microstructure of the Euro Money Market," CEPR Discussion Papers 3081, C.E.P.R. Discussion Papers.
- Hartmann, Philipp & Manna, Michele & Manzanares, Andrés, 2001. "The microstructure of the euro money market," Working Paper Series 0080, European Central Bank.
- Livio Stracca & Clara Martin Moss & Livio Stracca, 2004. "Demand and supply in the ECB's main refinancing operations," Money Macro and Finance (MMF) Research Group Conference 2003 94, Money Macro and Finance Research Group.
- Monika Bucher & Achim Hauck & Ulrike Neyer, 2020. "Interbank market friction-induced holdings of precautionary liquidity: implications for bank loan supply and monetary policy implementation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(1), pages 165-222, July.
- Bindseil, Ulrich & Seitz, Franz, 2001. "The supply and demand for Eurosystem deposits - The first 18 months," Working Paper Series 44, European Central Bank.
- Ewerhart, Christian, 2002. "A model of the Eurosystem's operational framework for monetary policy implementation," Working Paper Series 197, European Central Bank.
- Anne Vila Wetherilt, 2003. "Money market operations and short-term interest rate volatility in the United Kingdom," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 701-719.
- Bindseil, Ulrich & Nyborg, Kjell G., 2007. "Monetary policy implementation: A European Perspective," Discussion Papers 2007/10, Norwegian School of Economics, Department of Business and Management Science.
- Anne Vila Wetherilt, 2003. "Money market operations and volatility of UK money market rates," Bank of England working papers 174, Bank of England.
- Bindseil, Ulrich & Seitz, Franz, 2001. "The supply and demand for Eurosystem deposits - The first 18 months," Working Paper Series 0044, European Central Bank.
More about this item
Keywords
central bank liquidity management; open market operations; tender procedures;All these keywords.
JEL classification:
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2002-06-13 (European Economics)
- NEP-FMK-2002-06-13 (Financial Markets)
- NEP-MON-2002-06-13 (Monetary Economics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecb:ecbwps:2002137. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Official Publications (email available below). General contact details of provider: https://edirc.repec.org/data/emieude.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.