Academic Journal
(*)European Central Bank (#)University of Zurich
| العنوان: | (*)European Central Bank (#)University of Zurich |
|---|---|
| المؤلفون: | Nuno Cassola, Christian Ewerhart, Claudio Morana |
| المساهمون: | The Pennsylvania State University CiteSeerX Archives |
| المصدر: | http://www.idei.fr/doc/conf/ea/cassola.pdf. |
| سنة النشر: | 2006 |
| المجموعة: | CiteSeerX |
| مصطلحات موضوعية: | repo auctions, monetary policy implementation, primary money market market, multi unit auctions |
| الوصف: | 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. This exercise sheds light on the debate about the reversed winners curse found in the empirical literature on ECB auctions by showing that it may be related to an identi cation problem. Overall the results suggest that strategic and optimal behavior is prevalent in ECB tenders. We nd evidence of a statistically signi cant 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 and with price uncertainty. We argue that a su ¢ cient condition for the latter e¤ect to appear in the data is that the residual supply facing an individual bidder does not change much ex-post when very short-term market rates increase. |
| نوع الوثيقة: | text |
| وصف الملف: | application/pdf |
| اللغة: | English |
| Relation: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.590.7458; http://www.idei.fr/doc/conf/ea/cassola.pdf |
| الاتاحة: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.590.7458 http://www.idei.fr/doc/conf/ea/cassola.pdf |
| Rights: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| رقم الانضمام: | edsbas.9B4E4F43 |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |