IDEAS home Printed from https://ideas.repec.org/p/ecb/ecbwps/2004359.html
   My bibliography  Save this paper

The longer term refinancing operations of the ECB

Author

Listed:
  • Linzert, Tobias
  • Nautz, Dieter
  • Bindseil, Ulrich

Abstract

This paper employs individual bidding data to analyze the empirical performance of the longer term refinancing 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 expectations, market volatility and to individual bank characteristics like country of origin, size and experience. Panel regressions reveal that a bank's bidding depends on bank characteristics. Yet, different bidding behavior generally does not translate into differences concerning bidder success. In contrast to the ECB's main refinancing operations, we find evidence for the winner's curse effect in LTROs. Our results indicate that LTROs do neither lead to market distortions nor to unfair auction outcomes. JEL Classification: E52, D44

Suggested Citation

  • Linzert, Tobias & Nautz, Dieter & Bindseil, Ulrich, 2004. "The longer term refinancing operations of the ECB," Working Paper Series 359, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:2004359
    Note: 330442
    as

    Download full text from publisher

    File URL: https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp359.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492, National Bureau of Economic Research, Inc.
    2. 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.
    3. 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.
    4. Hoidal Bjonnes, Geir, 2001. "Winner's Curse in Discriminatory Price Auctions: Evidence from the Norwegian Treasury Bill Auctions," SIFR Research Report Series 3, Institute for Financial Research.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Vogel, Edgar, 2014. "MRO bidding in the presence of LTROs: an empirical analysis of the pre-crisis period," Working Paper Series 1753, European Central Bank.
    2. Metrick, Andrew, 2019. "European Central Bank Tools and Policy Actions A: Open Market Operations, Collateral Expansion and Standing Facilities," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 1(3), pages 57-81, March.
    3. Bryan J. Noeth & Rajdeep Sengupta, 2012. "Global European banks and the financial crisis," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 457-480.
    4. Ullrich, Katrin, 2006. "Market discipline and the use of government bonds as collateral in the EMU," ZEW Discussion Papers 06-046, ZEW - Leibniz Centre for European Economic Research.
    5. Ewerhart, Christian & Cassola, Nuno & Valla, Natacha, 2010. "Declining valuations and equilibrium bidding in central bank refinancing operations," International Journal of Industrial Organization, Elsevier, vol. 28(1), pages 30-43, January.
    6. Anne-Marie Rieu-Foucault, 2018. "Les interventions de crise de la FED et de la BCE diffèrent-elles ?," Working Papers hal-04141702, HAL.
    7. Eisenschmidt, Jens & Hirsch, Astrid & Linzert, Tobias, 2009. "Bidding behaviour in the ECB's main refinancing operations during the financial crisis," Working Paper Series 1052, European Central Bank.
    8. Craig, Ben & Ma, Yiming, 2022. "Intermediation in the interbank lending market," Journal of Financial Economics, Elsevier, vol. 145(2), pages 179-207.
    9. Välimäki, Tuomas, 2006. "Why the marginal MRO rate exceeds the ECB policy rate?," Bank of Finland Research Discussion Papers 20/2006, Bank of Finland.
    10. Ben R. Craig & Yiming Ma, 2020. "Intermediation in the Interbank Lending Market," Working Papers 20-09, Federal Reserve Bank of Cleveland.
    11. 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.
    12. Välimäki, Tuomas, 2006. "Why the marginal MRO rate exceeds the ECB policy rate?," Research Discussion Papers 20/2006, Bank of Finland.
    13. repec:zbw:bofrdp:2006_020 is not listed on IDEAS
    14. Linzert, Tobias & Nautz, Dieter & Breitung, Jorg, 2006. "Bidder behavior in central bank repo auctions: Evidence from the Bundesbank," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 215-230, July.

    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.
    1. Linzert, Tobias & Nautz, Dieter & Breitung, Jorg, 2006. "Bidder behavior in central bank repo auctions: Evidence from the Bundesbank," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 215-230, July.
    2. Nautz, Dieter & Linzert, Tobias & Breitung, Jörg, 2003. "Bidder Behavior in Repo Auctions without Minimum Bid Rate: Evidence from the Bundesbank," Discussion Paper Series 1: Economic Studies 2003,13, Deutsche Bundesbank.
    3. 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.
    4. Shino, Junnosuke, 2013. "A positive theory of fixed-rate funds-supplying operations in an accommodative financial environment," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 595-610.
    5. Bindseil, Ulrich & Nyborg, Kjell G. & Strebulaev, Ilya A., 2002. "Bidding and performance in repo auctions: evidence from ECB open market operations," Working Paper Series 157, European Central Bank.
    6. Linzert, Tobias & Nautz, Dieter & Bindseil, Ulrich, 2007. "Bidding behavior in the longer term refinancing operations of the European Central Bank: Evidence from a panel sample selection model," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1521-1543, May.
    7. 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).
    8. Bindseil, Ulrich, 2002. "Equilibrium bidding in the Eurosystem's open market operations," Working Paper Series 137, European Central Bank.
    9. Vogel, Edgar, 2014. "MRO bidding in the presence of LTROs: an empirical analysis of the pre-crisis period," Working Paper Series 1753, European Central Bank.
    10. Ulrich Bindseil & Kjell G. Nyborg & Ilya A. Strebulaev, 2009. "Repo Auctions and the Market for Liquidity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1391-1421, October.
    11. 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.
    12. Insoo Cho & Peter F. Orazem, 2021. "How endogenous risk preferences and sample selection affect analysis of firm survival," Small Business Economics, Springer, vol. 56(4), pages 1309-1332, April.
    13. Walter Beckert, 2015. "Choice in the Presence of Experts," Birkbeck Working Papers in Economics and Finance 1503, Birkbeck, Department of Economics, Mathematics & Statistics.
    14. Cameron, Trudy Ann & Shaw, W. Douglass & Ragland, Shannon E. & Callaway, J. Mac & Keefe, Sally, 1996. "Using Actual And Contingent Behavior Data With Differing Levels Of Time Aggregation To Model Recreation Demand," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 21(1), pages 1-20, July.
    15. Hans A. Holter & Dirk Krueger & Serhiy Stepanchuk, 2019. "How do tax progressivity and household heterogeneity affect Laffer curves?," Quantitative Economics, Econometric Society, vol. 10(4), pages 1317-1356, November.
    16. Michael Raper, 1999. "Self-selection bias and cost-of-living estimates," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 23(1), pages 64-77, March.
    17. Matthew Gentry & Tong Li & Jingfeng Lu, 2015. "Identification and estimation in first-price auctions with risk-averse bidders and selective entry," CeMMAP working papers CWP16/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    18. Aizenman, Joshua & Ito, Hiro & Pasricha, Gurnain Kaur, 2022. "Central bank swap arrangements in the COVID-19 crisis," Journal of International Money and Finance, Elsevier, vol. 122(C).
    19. Trottmann, Maria & Zweifel, Peter & Beck, Konstantin, 2012. "Supply-side and demand-side cost sharing in deregulated social health insurance: Which is more effective?," Journal of Health Economics, Elsevier, vol. 31(1), pages 231-242.
    20. Banal-Estañol, Albert & Duso, Tomaso & Seldeslachts, Jo & Szücs, Florian, 2022. "R&D Spillovers through RJV Cooperation," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 51(4), pages 1-10.

    More about this item

    Keywords

    Auctions; Monetary Policy Instruments ECB; Winner's Curse;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions

    Statistics

    Access and download statistics

    Corrections

    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:2004359. 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.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.