Banks� participation in the Eurosystem auctions and money market integration
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- Ewerhart, Christian & Cassola, Nuno & Valla, Natacha, 2010.
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- Ewerhart, Christian & Cassola, Nuno & Valla, Natacha, 2006. "Declining valuations and equilibrium bidding in central bank refinancing operations," Working Paper Series 668, European Central Bank.
- Christian Ewerhart & Nuno Cassola & Natacha Valla, 2007. "Declining Valuations And Equilibrium Bidding In Central Bank Refinancing Operations," Swiss Finance Institute Research Paper Series 07-22, Swiss Finance Institute.
- Cassola, N. & Ewerhart , C. & Valla, N., 2006. "Declining Valuations and Equilibrium Bidding Central Bank Refinancing Operations," Working papers 151, Banque de France.
- Cassola, Nuno & Ewerhart, Christian & Morana, Claudio, 2007.
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- 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.
- Cassola, Nuno & Ewerhart, Christian & Morana, Claudio, 2007. "Structural econometric approach to bidding in the main refinancing operations of the Eurosystem," Working Paper Series 793, European Central Bank.
- Eisenschmidt, Jens & Hirsch, Astrid & Linzert, Tobias, 2009. "Bidding behaviour in the ECB's main refinancing operations during the financial crisis," Working Paper Series 1052, European Central Bank.
- Linzert, Tobias & Nautz, Dieter & Breitung, Jorg, 2006. "Bidder behavior in central bank repo auctions: Evidence from the Bundesbank," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 215-230, July.
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- Margarida Catalão-Lopes, 2010. "Fixed- and Variable-Rate Tenders in the Management of Liquidity by the Eurosystem: Implications of the Recent Credit Crisis," International Journal of Central Banking, International Journal of Central Banking, vol. 6(2), pages 199-230, June.
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- Massimiliano Affinito, 2013. "Central bank refinancing, interbank markets, and the hypothesis of liquidity hoarding: evidence from a euro-area banking system," Temi di discussione (Economic working papers) 928, Bank of Italy, Economic Research and International Relations Area.
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Keywords
Bidding Behaviour; auctions; open market operations; money market; liquidity management Abstract: We perform a panel analysis of bidding in the Eurosystem auctions; using individual data that include the bidder code; size; nationality and membership in a banking group. We find that an increase in interest rate volatility lowers the probability of bidding; but induces bidders to shade rates less. Large bidders participate more regularly; while group bidders demand larger amounts; showing an aptitude to act as liquidity brokers. Our findings support the transnational bank hypothesis (Freixas- Holthausen; 2005): banks with a multinational profile use their informational advantage to arbitrage out the differences in interest rates across countries; thus fostering money market integration.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2006-01-01 (European Economics)
- NEP-FMK-2006-01-01 (Financial Markets)
- NEP-MAC-2006-01-01 (Macroeconomics)
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