全球智库信息集成服务系统(G2TT): Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations

G2TT

来源类型	FEEM working papers "Note di lavoro" series
规范类型	论文
	Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations
	Kjell G. Nyborg; Ulrich Bindseil; Ilya A. Strebulaev
发表日期	2005
出处	Economy and Society
出版年	2005
语种	英语
摘要	Repo auctions are used to inject central bank funds against collateral into the banking sector. The ECB uses standard discriminatory auctions and hundreds of banks participate. The amount auctioned over the monthly reserve maintenance period is in principle exactly what banks collectively need to fulfil reserve requirements. We study bidder-level data and find: (i) Bidder behavior is different from what is documented for treasury auctions. Private information and the winner's curse seem to be relatively unimportant. (ii) Underpricing is positively related to the difference between the interbank rate and the auction minimum bid rate, with the latter appearing to be a binding constraint. (iii) Bidders are more aggressive when the imbalance of awards in the previous auction is larger. (iv) Large bidders do better than small bidders. Some of our findings suggests that bidders are concerned with the loser's nightmare and have limited amounts of the cheapest eligible collateral.
特色分类	G21,G12,D44,E43,E50
关键词	Repo auctions,Multiunit auctions,Reserve requirements,Loser's nightmare,Money markets,Central bank,Collateral,Open market operations
URL	https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/bidding-and-performance-in-repo-auctions-evidence-from-ecb-open-market-operations/
来源智库	Fondazione Eni Enrico Mattei (Italy)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/117204
推荐引用方式 GB/T 7714	Kjell G. Nyborg,Ulrich Bindseil,Ilya A. Strebulaev. Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations. 2005.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
NDL2005-092.pdf（870KB）	智库出版物		限制开放	CC BY-NC-SA	浏览