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BanksÂ’ participation in the Eurosystem auctions and money market integration

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  • 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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Bibliographic Info

Paper provided by Bank of Italy, Economic Research and International Relations Area 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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Web page: http://www.bancaditalia.it
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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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References

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Citations

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Cited by:
  1. Christian Ewerhart & Nuno Cassola & Natacha Valla, 2007. "Declining Valuations And Equilibrium Bidding In Central Bank Refinancing Operations," Swiss Finance Institute Research Paper Series 07-22, Swiss Finance Institute.
  2. 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.
  3. 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.
  4. 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.
  5. Matteo Bugamelli & Alfonso Rosolia, 2006. "Productivity and foreign competition," Temi di discussione (Economic working papers) 578, Bank of Italy, Economic Research and International Relations Area.
  6. Massimiliano Affinito, 2013. "Central bank refinancing, interbank markets, and the hypothesis of liquidity hoarding: evidence from a euro-area banking system," Temi di discussione (Economic working papers) 928, Bank of Italy, Economic Research and International Relations Area.
  7. Affinito, Massimiliano, 2013. "Central bank refinancing, interbank markets and the hypothesis of liquidity hoarding: evidence from a euro-area banking system," Working Paper Series 1607, European Central Bank.
  8. Cassola, N. & Ewerhart , C. & Valla, N., 2006. "Declining Valuations and Equilibrium Bidding Central Bank Refinancing Operations," Working papers 151, Banque de France.

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