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A Model of the Open Market Operations of the European Central Bank

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Author Info
Ayuso, J.
Repullo, R.

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Abstract

We construct a model to nalyze the two types of tender procedures used by the European Central Bank in its open market operations. We assume that the ECB minimizes the expected value of a loss function that depends on the quadratic difference between the interbank rate and a target interest rate that characterizes the stance of monetarty policy. We show that when the loss fuction penalizes more heavily interbank rates below the target, fixed rate tenders have a unique equilibrium characterized by extreme overbidding.

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Publisher Info
Paper provided by Centro de Estudios Monetarios Y Financieros- in its series Papers with number 0011.

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Length: 34 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:fth:cemfdt:0011

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Postal: Centro de Estudios Monetarios Y Financieros. Casado del Alisal, 5-28014 Madrid, Spain.
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Related research
Keywords: MONETARY POLICY ; MARKET ; AUCTIONS;

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Find related papers by JEL classification:
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
D44 - Microeconomics - - Market Structure and Pricing - - - Auctions

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. 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:
  2. Gabriel Pérez Quirós & Hugo Rodríguez, 2000. "The Daily Market for Funds in Europe: Has Something Changed with the EMU?," Economics Working Papers 474, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    Other versions:
  3. John Y. Campbell, 1987. "Money Announcements, the Demand for Bank Reserves and the Behavior of the Federal Funds Rate Within the Statement Week," NBER Working Papers 1806, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. D. Nautz & J. Oechssler, . "The Repo Auctions of the European Central Bank and the Vanishing Quota Puzzle," Sonderforschungsbereich 373 1999-79, Humboldt Universitaet Berlin.
    Other versions:
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This page was last updated on 2009-11-20.

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