The longer term refinancing operations of the ECB
This paper employs individual bidding data to analyze the empirical performance of the longer term re?nancing operations (LTROs) of the European Central Bank (ECB). We investigate how banks’ bidding behavior is related to a series of exogenous variables such as collateral costs, interest rate expectations, market volatility and to individual bank characteristics like country of origin, size and experience. Panel regressions reveal that a bank’s bidding depends on bank characteristics. Yet, different bidding behavior generally does not translate into differences concerning bidder success. In contrast to the ECB’s main re?nancing operations, we ?nd evidence for the winner’s curse effect in LTROs. Our results indicate that LTROs do neither lead to market distortions nor to unfair auction outcomes. JEL Classification: E52, D44
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- Ayuso, Juan & Repullo, Rafael, 2001.
"Why did the banks overbid? An empirical model of the fixed rate tenders of the European Central Bank,"
Journal of International Money and Finance,
Elsevier, vol. 20(6), pages 857-870, November.
- Juan Ayuso & Rafael Repullo, 2001. "Why Did the Banks Overbid? An Empirical Model of the Fixed Rate Tenders of the European Central Bank," Working Papers 0105, Banco de España;Working Papers Homepage.
- Ayuso, J. & Repullo, R., 2001. "Why Did the Banks Overbid? An Empirical Model of the Fixed Rate Tenders of the European Cental Bank," Papers 0104, Centro de Estudios Monetarios Y Financieros-.
- James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492 National Bureau of Economic Research, Inc.
- 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.
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