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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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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. Marchetti, D.J., 1999. "Markup and the Business Cycle: Evidence from Italian Manufacturing Branches," Papers 362, Banca Italia - Servizio di Studi.
  2. Bonaccorsi di Patti, Emilia & Gobbi, Giorgio, 2001. "The changing structure of local credit markets: Are small businesses special?," Journal of Banking & Finance, Elsevier, vol. 25(12), pages 2209-2237, December. [Downloadable!] (restricted)
  3. Piero Cipollone, 2001. "La convergenza dei salari manifatturieri in Europa," Temi di discussione (Economic working papers) 398, Bank of Italy, Economic Research Department. [Downloadable!]
  4. Kristian Behrens & Andrea R. Lamorgese & Gianmarco I.P. Ottaviano & Takatoshi Tabuchi, 2005. "Testing the 'home market effect' in a multi-country world: A theory-based approach," Temi di discussione (Economic working papers) 561, Bank of Italy, Economic Research Department. [Downloadable!]
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  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. 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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