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! ]

Bidding and performance in repo auctions - evidence from ECB open market operations

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Kjell G. Nyborg () (Norwegian School of Economics and Business Administration, Helleveien 30, N-5035 Bergen, Norway.)
Ulrich Bindseil () (European Central Bank, Kaiserstrasse 29, Postfach 16 03 19, 60066 Frankfurt am Main, Germany.)
Ilya A. Strebulaev () (Stanford University - Graduate School of Business, 518 Memorial Way, Stanford , CA 94305-5015, United States.)

Additional information is available for the following registered author(s):

Abstract

We study bidder behavior and performance in 53 main refinancing operations ("repo auctions") of the European Central Bank (ECB). The data set starts with the first auction after the ECB changed from fixed rate tenders to variable rate tenders. We find that private information and the winner's curse are not important in these auctions. The minimum bid rate and the level of secondary market rates play a crucial role in bidder behavior and auction performance. We also document that large bidders do better than small bidders, apparently because they use "smarter" strategies which involve using more bids and having more kurtosis in their individual bid distribution. The penultimate auction in every reserve maintenance period has less underpricing than the other auctions within the maintenance period. Finally, from the two cases of underbidding covered by the sample period, it appears this was driven by particularly large cutbacks by large, rather than small, bidders. JEL Classification: G21; G12; D44; E43; E50.

Download Info
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.

File URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp157.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by European Central Bank in its series Working Paper Series with number 157.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 57 pages
Date of creation: Jul 2002
Date of revision:
Handle: RePEc:ecb:ecbwps:20020157

Contact details of provider:
Postal: Postfach 16 03 19, Frankfurt am Main, Germany
Phone: +49 69 1344 0
Fax: +49 69 1344 6000
Web page: http://www.ecb.europa.eu/home/html/index.en.html
More information through EDIRC

Order Information:
Postal: Press and Information Division, European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany
Email:

For technical questions regarding this item, or to correct its listing, contact: (Official Publications).

Related research
Keywords: Repo auctions; multiunit auctions; discriminatory auctions; reserve requirements; money markets; central bank; interest rates; collateral; open market operations.;

Other versions of this item:

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.:
  1. Nyborg, Kjell G. & Strebulaev, Ilya A., 2001. "Collateral and short squeezing of liquidity in fixed rate tenders," Journal of International Money and Finance, Elsevier, vol. 20(6), pages 769-792, November. [Downloadable!] (restricted)
  2. 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. [Downloadable!]
  3. Simon, David P., 1994. "Markups, quantity risk, and bidding strategies at treasury coupon auctions," Journal of Financial Economics, Elsevier, vol. 35(1), pages 43-62, February. [Downloadable!] (restricted)
  4. 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:
  5. Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February. [Downloadable!] (restricted)
    Other versions:
  6. Samita Sareen & Ali Hortacsu, 2004. "Order Flow and the Formation of Dealer Bids: An Analysis of Information and Strategic Behavior in the Government of Canada Securities Auctions," Working Papers 2004.145, Fondazione Eni Enrico Mattei. [Downloadable!]
  7. Kjell G. Nyborg & Kristian Rydqvist & Suresh M. Sundaresan, 2002. "Bidder Behavior in Multiunit Auctions: Evidence from Swedish Treasury Auctions," Journal of Political Economy, University of Chicago Press, vol. 110(2), pages 394-424, April. [Downloadable!] (restricted)
  8. Cammack, Elizabeth B, 1991. "Evidence on Bidding Strategies and the Information in Treasury Bill Auctions," Journal of Political Economy, University of Chicago Press, vol. 99(1), pages 100-130, February. [Downloadable!] (restricted)
  9. Chatterjea, Arkadev & Jarrow, Robert A., 1998. "Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(02), pages 255-289, June. [Downloadable!]
  10. Wilson, Robert, 1977. "A Bidding Model of Perfect Competition," Review of Economic Studies, Blackwell Publishing, vol. 44(3), pages 511-18, October. [Downloadable!] (restricted)
  11. Nyborg, Kjell G. & Sundaresan, Suresh, 1996. "Discriminatory versus uniform Treasury auctions: Evidence from when-issued transactions," Journal of Financial Economics, Elsevier, vol. 42(1), pages 63-104, September. [Downloadable!] (restricted)
  12. Kjell G. Nyborg, 2004. "Multiple Unit Auctions and Short Squeezes," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 17(2), pages 545-580. [Downloadable!] (restricted)
    Other versions:
  13. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
  14. Bergstrom, Theodore & Blume, Lawrence & Varian, Hal, 1986. "On the private provision of public goods," Journal of Public Economics, Elsevier, vol. 29(1), pages 25-49, February. [Downloadable!] (restricted)
    Other versions:
  15. Milgrom, Paul R & Weber, Robert J, 1982. "A Theory of Auctions and Competitive Bidding," Econometrica, Econometric Society, vol. 50(5), pages 1089-1122, September. [Downloadable!] (restricted)
    Other versions:
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.)

  1. Cornelia Holthausen & Jean-Charles Rochet, 2002. "Efficient pricing of large value interbank payment systems," Working Paper Series 184, European Central Bank. [Downloadable!]
    Other versions:
  2. Linzert, Tobias & Schmidt, Sandra, 2007. "What Explains the Spread Between the Euro Overnight Rate and the ECB?s Policy Rate?," ZEW Discussion Papers 07-076, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    Other versions:
  3. Fecht, Falko & Nyborg, Kjell G. & Rocholl, Jörg, 2008. "The price of liquidity: bank characteristics and market conditions," Discussion Paper Series 1: Economic Studies 2008,30, Deutsche Bundesbank, Research Centre. [Downloadable!]
    Other versions:
  4. Cassola, N. & Ewerhart , C. & Valla, N., 2006. "Declining Valuations and Equilibrium Bidding Central Bank Refinancing Operations," Documents de Travail 151, Banque de France. [Downloadable!]
  5. 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!]
  6. Rafael Romeu & Lawrence Ausubel, 2005. "Bidder Participation and Information in Currency Auctions," IMF Working Papers 05/157, International Monetary Fund. [Downloadable!]
  7. 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!]
  8. Giancarlo Corsetti & Luca Dedola, 2002. "From the ERM to the Euro: new evidence on economic and policy convergence among EU countries," Working Paper Series 176, European Central Bank. [Downloadable!]
    Other versions:
  9. 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!]
  10. tuomas välimäki, 2004. "Variable rate liquidity tenders," Macroeconomics 0405010, EconWPA. [Downloadable!]
  11. Välimäki, Tuomas, 2002. "Variable rate liquidity tenders," Research Discussion Papers 24/2002, Bank of Finland. [Downloadable!]
  12. Christian Ewerhart, 2002. "A model of the Eurosystem's operational framework for monetary poicy implementation," Working Paper Series 197, European Central Bank. [Downloadable!]
  13. Ben Craig & Falko Fecht, 2006. "The Eurosystem money market auctions: a banking perspective," Working Paper 0506, Federal Reserve Bank of Cleveland. [Downloadable!]
    Other versions:
  14. Carsten Detken & Alistair Dieppe & Jerome Henry & Frank Smets & Carmen Marin, 2002. "Model uncertainty and the equilibrium value of the real effective euro exchange rate," Working Paper Series 160, European Central Bank. [Downloadable!]
  15. Nicole Jonker, 2002. "Constructing quality-adjusted price indices: a comparison of hedonic and discrete choice models," Working Paper Series 172, European Central Bank. [Downloadable!]
    Other versions:
  16. 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!]
  17. Christian Ewerhart & Nuno Cassola & Steen Ejerskov & Natacha Valla, 2003. "Optimal allotment policy in the eurosystem’s main refinancing operations?," Working Paper Series 295, European Central Bank. [Downloadable!]
  18. Orly Sade & Charles Schnitzlein & Jaime Zender, 2006. "Competition and Cooperation in Divisible Good Auctions: An Experimental Examination," Artefactual Field Experiments 0076, The Field Experiments Website. [Downloadable!]
  19. Christian Ewerhart & Nuno Cassola & Steen Ejerskov & Natacha Valla, 2007. "Manipulation in Money Markets," International Journal of Central Banking, International Journal of Central Banking, vol. 3(1), pages 113-148, March. [Downloadable!]
    Other versions:
  20. 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!]
    Other versions:
Statistics
Access and download statistics

Did you know? About 1000 archives contribute their bibliographic data to RePEc.

This page was last updated on 2009-11-20.

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.