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Repo auction formats, bidders' behaviour and money market response in India

  • Singh, Bhupal
  • Dhal, Sarat C.

The treasury securities repo-auction is an important instrument for central banks in managing liquidity and sending interest rate signal to the money market. In the Indian context, the repo-auctions have been used actively in the post-reform period. The present study illustrates the money market reaction to repo-auctions and points out whether such reaction is consistent with applied auction rules. The policy implications are analysed in the light of alternative rules pertaining to discriminatory price auctions and fixed rate repos.

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File URL: https://mpra.ub.uni-muenchen.de/12147/1/MPRA_paper_12147.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 12147.

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Date of creation: 30 Sep 1998
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Handle: RePEc:pra:mprapa:12147
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  1. Nautz, D., 1995. "Optimal bidding in multi-unit auctions with many bidders," Economics Letters, Elsevier, vol. 48(3-4), pages 301-306, June.
  2. Cammack, Elizabeth B, 1991. "Evidence on Bidding Strategies and the Information in Treasury Bill Auctions," Journal of Political Economy, University of Chicago Press, vol. 99(1), pages 100-130, February.
  3. Robert A. Feldman & Rajnish Mehra, 1993. "Auctions: Theory and Applications," IMF Staff Papers, Palgrave Macmillan, vol. 40(3), pages 485-511, September.
  4. Nautz, Dieter, 1997. "How Auctions Reveal Information: A Case Study on German REPO Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 17-25, February.
  5. Carlo Cottarelli & Leonardo Bartolini, 1994. "Treasury Bill Auctions; Issues and Uses," IMF Working Papers 94/135, International Monetary Fund.
  6. Wilson, Robert, 1977. "A Bidding Model of Perfect Competition," Review of Economic Studies, Wiley Blackwell, vol. 44(3), pages 511-18, October.
  7. Vincent Reinhart, 1992. "An analysis of potential Treasury auction techniques," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Jun, pages 403-413.
  8. Granger, C W J & Lee, T H, 1989. "Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages S145-59, Supplemen.
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