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BanksÂ’ participation in the Eurosystem auctions and money market integration

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Author Info
Giuseppe Bruno () (Bank of Italy, Economic Research Department)
Ernesto Maurizio Ordine () (Bank of Italy, Isernia Branch)
Antonio Scalia () (Bank of Italy, Monetary and Exchange Rate Policy Department)
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Paper provided by Bank of Italy, Economic Research Department in its series Temi di discussione (Economic working papers) with number 562.

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Date of creation: Sep 2005
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Handle: RePEc:bdi:wptemi:td_562_05

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Keywords: Bidding Behaviour; auctions; open market operations; money market; liquidity management Abstract: We perform a panel analysis of bidding in the Eurosystem auctions; using individual data that include the bidder code; size; nationality and membership in a banking group. We find that an increase in interest rate volatility lowers the probability of bidding; but induces bidders to shade rates less. Large bidders participate more regularly; while group bidders demand larger amounts; showing an aptitude to act as liquidity brokers. Our findings support the transnational bank hypothesis (Freixas- Holthausen; 2005): banks with a multinational profile use their informational advantage to arbitrage out the differences in interest rates across countries; thus fostering money market integration.;

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  12. 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.
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  25. D. Nautz & J. Oechssler, . "The Repo Auctions of the European Central Bank and the Vanishing Quota Puzzle," Sonderforschungsbereich 373 1999-79, Humboldt Universitaet Berlin.
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  26. 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. [Downloadable!] (restricted)
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  27. 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. [Downloadable!] (restricted)
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  28. Wooldridge, Jeffrey M., 1995. "Selection corrections for panel data models under conditional mean independence assumptions," Journal of Econometrics, Elsevier, vol. 68(1), pages 115-132, July. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Nuno Cassola & Christian Ewerhart & Claudio Morana, 2007. "Structural econometric approach to bidding in the main refinancing operations of the Eurosystem," Working Paper Series 793, European Central Bank. [Downloadable!]
  2. Nuno Cassola & Christian Ewerhart & Claudio Morana, 2006. "Structural Econometric Approach to Bidding in the Main refinancing Operations of the Eurosystem," ICER Working Papers 26-2006, ICER - International Centre for Economic Research. [Downloadable!]
  3. Christian Ewerhart & Nuno Cassola & Natacha Valla, 2006. "Declining valuations and equilibrium bidding in central bank refinancing operations," Working Paper Series 668, European Central Bank. [Downloadable!]
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