IDEAS home Printed from https://ideas.repec.org/p/zbw/sfb373/199979.html
   My bibliography  Save this paper

The repo auctions of the European Central Bank and the vanishing quota puzzle

Author

Listed:
  • Nautz, Dieter
  • Oechssler, Jörg

Abstract

Weekly repo auctions are the European Central Bank's most important policy instrument. Provided that banks bid seriously, these auctions should reveal useful information about banks' liquidity needs and the stance of monetary policy. However 1 as we show in this paper, the applied auction rules specify a game without equilibrium. In particular, banks have incentives to grossly exaggerate their needs for refinancing. In response, they are drastically rationed, and the allotment quota virtually vanishes over time, which makes banks' bids useless as a monetary indicator. Our empirical results suggest that banks are requesting more than 25 times the amount they actually need - with increasing trend.

Suggested Citation

  • Nautz, Dieter & Oechssler, Jörg, 1999. "The repo auctions of the European Central Bank and the vanishing quota puzzle," SFB 373 Discussion Papers 1999,79, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:199979
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/61699/1/722398808.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    Keywords

    monetary policy instruments; auctions; European Central Bank;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:sfb373:199979. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/sfhubde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.