This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Declining Valuations And Equilibrium Bidding In Central Bank Refinancing Operations Author info | Abstract | Publisher info | Download info | Related research | Statistics Christian Ewerhart (University of Zurich)
Nuno Cassola (European Central Bank)
Natacha Valla (Banque de France)
Additional information is available for the following
registered author(s):
Among the most puzzling observations for the euro money market are the bid shading in the weekly refinancing operations and the development of interest rate spreads. To explain these observations, we consider a standard divisible-good auction à la Klemperer and Meyer (1989) with uniform or discriminatory pricing, and place it in the context of a secondary market for interbank credit. The analysis links the observations for the euro area to the endogenous choice of collateral in credit transactions. We also discuss the Eurosystem’s apparent preference for the discriminatory pricing rule.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number
07-22.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length: 30 pages
Date of creation: Jul 2007Date of revision:
Handle: RePEc:chf:rpseri:rp0722Contact details of provider: Web page: http://www.SwissFinanceInstitute.ch More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Marilyn Barja).
Keywords: Eurosystem ; discriminatory auction ; bid shading ; collateral ; Other versions of this item:
Find related papers by JEL classification: D44 - Microeconomics - - Market Structure and Pricing - - - Auctions E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports :
References listed on IDEAS 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.: Jackson, Matthew O. & Jeroen Swinkels, 2004.
"Existence of Equilibrium in Single and Double Private Value Auctions ,"
Working Papers
1192, California Institute of Technology, Division of the Humanities and Social Sciences.
[Downloadable!]
Other versions: Viswanathan, S. & Wang, James J. D., 2002.
"Market architecture: limit-order books versus dealership markets ,"
Journal of Financial Markets ,
Elsevier, vol. 5(2), pages 127-167, April.
[Downloadable!] (restricted)
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.
[Downloadable!] (restricted)
Baltensperger, Ernst, 1974.
"The Precautionary Demand for Reserves ,"
American Economic Review ,
American Economic Association, vol. 64(1), pages 205-10, March.
Menezes, Flavio M. & Monteiro, Paulo K., 1995.
"Existence of equilibrium in a discriminatory price auction ,"
Mathematical Social Sciences ,
Elsevier, vol. 30(3), pages 285-292, December.
[Downloadable!] (restricted)
Other versions: Swinkels, Jeroen M, 1999.
"Asymptotic Efficiency for Discriminatory Private Value Auctions ,"
Review of Economic Studies ,
Blackwell Publishing, vol. 66(3), pages 509-28, July.
[Downloadable!] (restricted)
Other versions: Christian Ewerhart & Nuno Cassola & Natacha Valla, 2005.
"Equilibrium and inefficiency in fixed rate tenders ,"
Working Paper Series
554, European Central Bank.
[Downloadable!]
Bindseil, Ulrich & Nyborg, Kjell G & Strebulaev, Ilya, 2004.
"Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations ,"
CEPR Discussion Papers
4367, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:
Kjell G. Nyborg & Ulrich Bindseil & Ilya A. Strebulaev, 2002.
"Bidding and performance in repo auctions - evidence from ECB open market operations ,"
Working Paper Series
157, European Central Bank.
[Downloadable!] Bindseil, Ulrich & Nyborg, Kjell G. & Strebulaev, Ilya A., 2005.
"Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations ,"
Discussion Papers
2005/13, Department of Finance and Management Science, Norwegian School of Economics and Business Administration.
[Downloadable!] Kjell G. Nyborg & Ulrich Bindseil & Ilya A. Strebulaev, 2005.
"Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations ,"
Working Papers
2005.92, Fondazione Eni Enrico Mattei.
[Downloadable!] David McAdams, 2003.
"Isotone Equilibrium in Games of Incomplete Information ,"
Econometrica ,
Econometric Society, vol. 71(4), pages 1191-1214, 07.
[Downloadable!] (restricted)
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.
[Downloadable!] (restricted)
Other versions: Draaisma, Teun & Noussair, Charles, 1997.
"Optimal bidding in a uniform price auction with multi-unit demand1 ,"
Economics Letters ,
Elsevier, vol. 56(2), pages 157-162, October.
[Downloadable!] (restricted)
Engelbrecht-Wiggans, Richard & Kahn, Charles M., 1998.
"Multi-Unit Pay-Your-Bid Auctions with Variable Awards ,"
Games and Economic Behavior ,
Elsevier, vol. 23(1), pages 25-42, April.
[Downloadable!] (restricted)
Robert G. Hansen, 1988.
"Auctions with Endogenous Quantity ,"
RAND Journal of Economics ,
The RAND Corporation, vol. 19(1), pages 44-58, Spring.
[Downloadable!] (restricted)
Giuseppe Bruno & Ernesto Maurizio Ordine & Antonio Scalia, 2005.
"BanksÂ’ participation in the Eurosystem auctions and money market integration ,"
Temi di discussione (Economic working papers)
562, Bank of Italy, Economic Research Department.
[Downloadable!]
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.
[Downloadable!]
Ulrich Bindseil & Tobias Linzert & Dieter Nautz, 2004.
"The longer term refinancing operations of the ECB ,"
Working Paper Series
359, European Central Bank.
[Downloadable!]
Marco LiCalzi & Alessandro Pavan, 2002.
"Tilting the Supply Schedule to Enhance Competition in Uniform- Price Auctions ,"
Game Theory and Information
0210003, EconWPA.
[Downloadable!]
Other versions:
Marco LiCalzi & Alessandro Pavan, 2003.
"Tilting the Supply Schedule to Enhance Competition in Uniform-Price Auctions ,"
Working Papers
2003.22, Fondazione Eni Enrico Mattei.
[Downloadable!] LiCalzi, Marco & Pavan, Alessandro, 2005.
"Tilting the supply schedule to enhance competition in uniform-price auctions ,"
European Economic Review ,
Elsevier, vol. 49(1), pages 227-250, January.
[Downloadable!] (restricted) Noussair, Charles, 1995.
"Equilibria in a Multi-object Uniform Price Sealed Bid Auction with Multi-unit Demands ,"
Economic Theory ,
Springer, vol. 5(2), pages 337-51, March.
Swinkels, Jeroen M, 2001.
"Efficiency of Large Private Value Auctions ,"
Econometrica ,
Econometric Society, vol. 69(1), pages 37-68, January.
Bikhchandani, Sushil & Huang, Chi-fu, 1993.
"The Economics of Treasury Securities Markets ,"
Journal of Economic Perspectives ,
American Economic Association, vol. 7(3), pages 117-34, Summer.
[Downloadable!] (restricted)
Duffie, Darrell, 1996.
" Special Repo Rates ,"
Journal of Finance ,
American Finance Association, vol. 51(2), pages 493-526, June.
[Downloadable!] (restricted)
Wilson, Robert, 1979.
"Auctions of Shares ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 93(4), pages 675-89, November.
[Downloadable!] (restricted)
Klemperer, Paul D & Meyer, Margaret A, 1989.
"Supply Function Equilibria in Oligopoly under Uncertainty ,"
Econometrica ,
Econometric Society, vol. 57(6), pages 1243-77, November.
[Downloadable!] (restricted)
Lawrence M. Ausubel & Peter Cramton, 1995.
"Demand Reduction and Inefficiency in Multi-Unit Auctions ,"
Papers of Peter Cramton
98wpdr, University of Maryland, Department of Economics - Peter Cramton, revised 22 Jul 2002.
[Downloadable!]
Kyle, Albert S, 1989.
"Informed Speculation with Imperfect Competition ,"
Review of Economic Studies ,
Blackwell Publishing, vol. 56(3), pages 317-55, July.
[Downloadable!] (restricted)
Back, Kerry & Zender, Jaime F., 2001.
"Auctions of divisible goods with endogenous supply ,"
Economics Letters ,
Elsevier, vol. 73(1), pages 29-34, October.
[Downloadable!] (restricted)
Ilan Kremer, 2004.
"Underpricing and Market Power in Uniform Price Auctions ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 17(3), pages 849-877.
[Downloadable!] (restricted)
Other versions: Back, Kerry & Zender, Jaime F, 1993.
"Auctions of Divisible Goods: On the Rationale for the Treasury Experiment ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 6(4), pages 733-64.
[Downloadable!] (restricted)
Ilan Kremer & Kjell G. Nyborg, 2004.
"Divisible-Good Auctions: The Role of Allocation Rules ,"
RAND Journal of Economics ,
The RAND Corporation, vol. 35(1), pages 147-159, Spring.
Bruno Biais & David Martimort & Jean-Charles Rochet, 2000.
"Competing Mechanisms in a Common Value Environment ,"
Econometrica ,
Econometric Society, vol. 68(4), pages 799-838, July.
Other versions: Yvan Lengwiler, 1998.
"The multiple unit auction with variable supply ,"
Finance and Economics Discussion Series
1998-28, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Full
references 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.)
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!]
Access and
download statistics Did you know? LogEc provides statistical analysis about downloads from this service (and others).
This page was last updated on 2009-11-3.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .