Why Did the Banks Overbid? An Empirical Model of the Fixed Rate Tenders of the European Central Bank
This paper tests two hypotheses for the overbidding behavior of the banks in the fixed rate tenders conducted by the European Central Bank from January 1999 until June 2000. One hypothesis attributes the overbidding to expectations of a future tightening of monetary policy, while the other attributes it to the liquidity allotment decisions of the ECB.
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- Nautz, Dieter & Oechssler, Jörg, 1999.
"The repo auctions of the European Central Bank and the vanishing quota puzzle,"
SFB 373 Discussion Papers
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- Juan Ayuso & Rafael Repullo, 2003.
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Royal Economic Society, vol. 113(490), pages 883-902, October.
- Juan Ayuso & Rafael Repullo, 2000. "A Model of the Open Market Operations of the European Central Bank," Working Papers 0016, Banco de España;Working Papers Homepage.
- Ayuso, J. & Repullo, R., 2000. "A Model of the Open Market Operations of the European Central Bank," Papers 0011, Centro de Estudios Monetarios Y Financieros-.
- Ayuso, Juan & Repullo, Rafael, 2000. "A Model of the Open Market Operations of the European Central Bank," CEPR Discussion Papers 2605, C.E.P.R. Discussion Papers.
- 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.
- 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.
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