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Why Did the Banks Overbid? An Empirical Model of the Fixed Rate Tenders of the European Central Bank

  • Juan Ayuso

    ()

    (Banco de España)

  • Rafael Repullo

    ()

    (CEMFI)

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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File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/01/Fic/dt0105e.pdf
File Function: First version, 2001
Download Restriction: no

Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0105.

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Length: 21 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:bde:wpaper:0105
Contact details of provider: Web page: http://www.bde.es/Email:


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  1. Campbell, John, 1987. "Money Announcements, The Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week," Scholarly Articles 3220231, Harvard University Department of Economics.
  2. Dieter Nautz & Jörg Oechssler, 2001. "The Repo Auctions of the European Central Bank and the Vanishing Quota Puzzle," Bonn Econ Discussion Papers bgse9_2001, University of Bonn, Germany.
  3. 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.
  4. 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.
  5. 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.
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