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Repo Auctions and the Market for Liquidity

Citations

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Cited by:

  1. Boissel, Charles & Derrien, François & Ors, Evren & Thesmar, David, 2017. "Systemic risk in clearing houses: Evidence from the European repo market," Journal of Financial Economics, Elsevier, vol. 125(3), pages 511-536.
  2. Massimiliano Affinito, 2019. "What do almost 20 years of micro data and two crises say about the relationship between central bank and interbank market liquidity? Evidence from Italy," Temi di discussione (Economic working papers) 1238, Bank of Italy, Economic Research and International Relations Area.
  3. Cafiso, Gianluca, 2019. "Sovereign bond markets when auctions take place: Evidence from Italy," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 406-430.
  4. Vogel, Edgar, 2014. "MRO bidding in the presence of LTROs: an empirical analysis of the pre-crisis period," Working Paper Series 1753, European Central Bank.
  5. Fecht, Falko & Nyborg, Kjell G. & Rocholl, Jörg, 2008. "The price of liquidity: bank characteristics and market conditions," Discussion Paper Series 1: Economic Studies 2008,30, Deutsche Bundesbank.
  6. Viral V. Acharya & Ouarda Merrouche, 2013. "Precautionary Hoarding of Liquidity and Interbank Markets: Evidence from the Subprime Crisis," Review of Finance, European Finance Association, vol. 17(1), pages 107-160.
  7. Weber, Patrick, 2015. "Does the Eurosystem's lender of last resort facility has a structurally di fferent option value across banks?," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113123, Verein für Socialpolitik / German Economic Association.
  8. Fecht, Falko & Weber, Patrick, 2022. "Private value of central bank liquidity and Banks’ bidding behavior in variable rate tender auctions," Journal of Banking & Finance, Elsevier, vol. 136(C).
  9. Fuhrer, Lucas Marc, 2018. "Liquidity in the repo market," Journal of International Money and Finance, Elsevier, vol. 84(C), pages 1-22.
  10. Alejandro Bernales & M. di Filippo, 2016. "The Information Contained in Money Market Interactions: Unsecured vs. Collateralized Lending," Working papers 598, Banque de France.
  11. Nyborg, Kjell G., 2017. "Central bank collateral frameworks," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 198-214.
  12. Bazot, Guillaume, 2014. "Local liquidity constraints: What place for central bank regional policy? The French experience during the Belle Époque (1880–1913)," Explorations in Economic History, Elsevier, vol. 52(C), pages 44-62.
  13. Nyborg, Kjell G., 2017. "Reprint of: Central bank collateral frameworks," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 232-248.
  14. Peter G. Dunne & Michael J. Fleming & Andrey Zholos, 2013. "ECB monetary operations and the interbank repo market," Staff Reports 654, Federal Reserve Bank of New York.
  15. Falko Fecht & Kjell G. Nyborg & Jörg Rocholl & Jiri Woschitz, 2016. "Collateral, Central Bank Repos, and Systemic Arbitrage," Swiss Finance Institute Research Paper Series 16-66, Swiss Finance Institute.
  16. Schmidt, Kirsten, 2019. "Does liquidity regulation impede the liquidity profile of collateral?," Working Paper Series 2256, European Central Bank.
  17. Fecht, Falko & Weber, Patrick, 2023. "Who borrows from the Eurosystem’s lender-of-the-last-resort facility?," Journal of Banking & Finance, Elsevier, vol. 150(C).
  18. Florian B¨oser, 2021. "Monetary Policy under Subjective Beliefs of Banks: Optimal Central Bank Collateral Requirements," CER-ETH Economics working paper series 21/357, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
  19. Abbassi, Puriya & Nautz, Dieter, 2010. "Monetary transmission right from the start: The (dis)connection netween the money market and the ECB's main refinancing rates," Discussion Papers 2010/7, Free University Berlin, School of Business & Economics.
  20. Abbassi, Puriya & Nautz, Dieter, 2012. "Monetary transmission right from the start: On the information content of the Eurosystem's main refinancing operations," The North American Journal of Economics and Finance, Elsevier, vol. 23(1), pages 54-69.
  21. Craig, Ben R. & Fecht, Falko & Tümer-Alkan, Günseli, 2015. "The role of interbank relationships and liquidity needs," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 99-111.
  22. Angela Maddaloni & José-Luis Peydró, 2010. "Bank lending standards and the origins and implications of the current banking crisis," Research Bulletin, European Central Bank, vol. 9, pages 6-9.
  23. Di Xiao & Andreas Krause, 2022. "Bank demand for central bank liquidity and its impact on interbank markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(3), pages 639-679, July.
  24. Nyborg, Kjell G. & Östberg, Per, 2014. "Money and liquidity in financial markets," Journal of Financial Economics, Elsevier, vol. 112(1), pages 30-52.
  25. Brossard, Olivier & Saroyan, Susanna, 2016. "Hoarding and short-squeezing in times of crisis: Evidence from the Euro overnight money market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 163-185.
  26. Alexander Bechtel & Angelo Ranaldo & Jan Wrampelmeyer, 2023. "Liquidity Risk and Funding Cost," Review of Finance, European Finance Association, vol. 27(2), pages 399-422.
  27. Lucas Marc Fuhrer & Basil Guggenheim & Silvio Schumacher, 2016. "Re‐Use of Collateral in the Repo Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(6), pages 1169-1193, September.
  28. Fecht, Falko & Nyborg, Kjell G. & Rocholl, Jörg, 2011. "The price of liquidity: The effects of market conditions and bank characteristics," Journal of Financial Economics, Elsevier, vol. 102(2), pages 344-362.
  29. Fiorella De Fiore & Oreste Tristani, 2010. "Financial conditions and monetary policy," Research Bulletin, European Central Bank, vol. 9, pages 10-12.
  30. Olivier Brossard & Susanna Saroyan, 2016. "Hoarding and short-squeezing in times of crisis: Evidence from the Euro overnight money market," Post-Print hal-01293693, HAL.
  31. Giovanni Lombardo & Peter McAdam, 2010. "Incorporating financial frictions into new-generation macro models," Research Bulletin, European Central Bank, vol. 9, pages 13-16.
  32. Affinito, Massimiliano, 2013. "Central bank refinancing, interbank markets and the hypothesis of liquidity hoarding: evidence from a euro-area banking system," Working Paper Series 1607, European Central Bank.
  33. Cornelia Holthausen & Huw Pill, 2010. "The forgotten markets: How understanding money markets helps us to understand the financial crisis," Research Bulletin, European Central Bank, vol. 9, pages 2-5.
  34. Abbassi, Puriya & Fecht, Falko & Weber, Patrick, 2013. "How stressed are banks in the interbank market?," Discussion Papers 40/2013, Deutsche Bundesbank.
  35. Kolozsi, Pál Péter & Horváth, Gábor, 2020. "Mennyit ér a likviditás?. A magyar bankrendszer likviditáskeresleti függvényének becslése [How much are reserves worth? Estimating interbank liquidity demand in Hungary]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 113-139.
  36. Azusa Takeyama & Naoshi Tsuchida, 2015. "The Interaction between Funding Liquidity and Market Liquidity: Evidence from Subprime and European Crises," IMES Discussion Paper Series 15-E-14, Institute for Monetary and Economic Studies, Bank of Japan.
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