Structural Econometric Approach to Bidding in the Main Refinancing Operations of the Eurosystem
33 Pages Posted: 17 Aug 2007
There are 2 versions of this paper
Structural Econometric Approach to Bidding in the Main Refinancing Operations of the Eurosystem
Structural Econometric Approach to Bidding in the Main Refinancing Operations of the Eurosystem
Date Written: August 2007
Abstract
This paper contributes to the existing literature on central bank repo auctions. It is based on a structural econometric approach, whereby the primitives of bidding behavior (individual bid schedules and bid-shading components) are directly estimated. With the estimated parameters we calibrate a theoretical model in order to illustrate some comparative static results. Overall the results suggest that strategic and optimal behavior is prevalent in ECB tenders. We find evidence of a statistically significant bid-shading component, even though the number of bidders is very large. Bid-shading increases with liquidity uncertainty and decreases with the number of participants.
Keywords: Repo auctions, monetary policy implementation, primary money market market, multi unit auctions, discriminatory auctions, collateral, central bank, nonparametric estimation
JEL Classification: G21, G12, D44, E43, E50
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Optimal Supervisory Policies and Depositor-Preference Laws
By Henri Pagès and João A. C. Santos
-
Declining Valuations and Equilibrium Bidding Central Bank Refinancing Operations
By Christian Ewerhart, Nuno Cassola, ...
-
Fiscal Policy in the Transition to Monetary Union: A Structural VAR Model
-
Testing for Zeros in the Spectrum of an Univariate Stationary Process: Part I
-
The Tail Behavior of Stock Returns: Emerging Versus Mature Markets
By Eric Jondeau and Michael Rockinger
-
Inflation and the Markup in the Euro Area
By Catherine Bruneau, Olivier De Bandt, ...
-
Forecasting Inflation in the Euro Area
By Catherine Bruneau, Olivier De Bandt, ...
-
Long-Run Causality, with an Application to International Links between Long-Term Interest Rates
By Catherine Bruneau and Eric Jondeau
-
Assessing GMM Estimates of the Federal Reserve Reaction Function
By Clementine Florens, Eric Jondeau, ...