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

Author

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  • Singh, Bhupal
  • Dhal, Sarat C.

Abstract

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.

Suggested Citation

  • Singh, Bhupal & Dhal, Sarat C., 1998. "Repo auction formats, bidders' behaviour and money market response in India," MPRA Paper 12147, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:12147
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    References listed on IDEAS

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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.
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    4. Robert Wilson, 1977. "A Bidding Model of Perfect Competition," Review of Economic Studies, Oxford University Press, vol. 44(3), pages 511-518.
    5. 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.
    6. Robert A. Feldman & Rajnish Mehra, 1993. "Auctions: Theory and Applications," IMF Staff Papers, Palgrave Macmillan, vol. 40(3), pages 485-511, September.
    7. Mr. Carlo Cottarelli & Mr. Leonardo Bartolini, 1994. "Treasury Bill Auctions: Issues and Uses," IMF Working Papers 1994/135, International Monetary Fund.
    8. 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.
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    Cited by:

    1. Mr. K. Kanagasabapathy & Mr. Rajan Goyal, 2002. "Yield Spread as a Leading Indicator of Real Economic Activity: An Empirical Exercise on the Indian Economy," IMF Working Papers 2002/091, International Monetary Fund.

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    More about this item

    Keywords

    Repo Auction Formats; Money Market Response;

    JEL classification:

    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions

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