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The longer term refinancing operations of the ECB
Linzert, Tobias; Nautz, Dieter; Bindseil, Ulrich - 2004
This paper employs individual bidding data to analyze the empirical performance of the longer term re?nancing operations (LTROs) of the European Central Bank (ECB). We investigate how banks’ bidding behavior is related to a series of exogenous variables such as collateral costs, interest rate...
Persistent link: https://www.econbiz.de/10011604405
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Structural Econometric Approach to Bidding in the Main Refinancing Operations of the Eurosystem
Ewerhart, Christian; Cassola, Nuno; Morana, Claudio - 2021
This paper contributes to the existing literature on central bank repo auctions. It is based on a structural …
Persistent link: https://www.econbiz.de/10013316900
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Learning from prices: Amplification and business fluctuations
Chahrour, Ryan; Gaballo, Gaetano - 2017
We provide a new theory of expectations-driven business cycles in which consumers' learning from prices dramatically alters the effects of aggregate shocks. Learning from prices causes changes in aggregate productivity to shift aggregate beliefs, generating positive price-quantity comovement....
Persistent link: https://www.econbiz.de/10011804368
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Learning from Prices : Amplification and Business Fluctuations
Chahrour, Ryan - 2017
We provide a new theory of expectations-driven business cycles in which consumers' learning from prices dramatically alters the effects of aggregate shocks. Learning from prices causes changes in aggregate productivity to shift aggregate beliefs, generating positive price-quantity comovement....
Persistent link: https://www.econbiz.de/10012956266
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Optimal CSD reshaping towards T2S
Mercier, Fabien; Sauer, Stephan - 2013
T2S is the single and harmonised IT platform for securities settlement in central bank money developed by the Eurosystem to promote integration in the European post-trading industry, and will go live in 2015. CSDs joining T2S are thus faced with the decision problem of determining to which...
Persistent link: https://www.econbiz.de/10011605594
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Limited liability, strategic default and bargaining power
Mozzanica, Mirco Balatti; López-Quiles, Carolina - 2021
default rates, renegotiation, or loan rates individually, we study them together as equilibrium outcomes of the strategic … interaction between lenders and borrowers. We present a simple model of default and renegotiation where the degree of limited … default rates and renegotiation rates. Regarding loan pricing, while the model predicts higher interest rates for limited …
Persistent link: https://www.econbiz.de/10012515440
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The microstructure of the euro money market
Hartmann, Philipp; Manna, Michele; Manzanares, Andrés - 2001
This paper provides the first empirical examination of the microstructure of the euro money market, using tick data from brokers located in 6 countries. Special emphasis is put on the institutional environment (monetary policy decisions and their implementation, payment systems and private...
Persistent link: https://www.econbiz.de/10011604126
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Bidding and performance in repo auctions: evidence from ECB open market operations
Nyborg, Kjell G.; Strebulaev, Ilya A.; Bindseil, Ulrich - 2002
We study bidder bahavior and performance in 53 main refinancing operations (repo auctions) of the European Central Bank … (ECB). The data set starts with the first auctions after the ECB changed from fixed rate tenders to variable rate tenders …. We find that private information and the winnner's curse are not important in these auctions. The minimum bid rate and …
Persistent link: https://www.econbiz.de/10011604203
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Equilibrium and inefficiency in fixed rate tenders
Ewerhart, Christian; Cassola, Nuno; Valla, Natacha - 2005
The fixed rate tender is one of the main procedural formats relied upon by central banks in their implementation of monetary policy. This fact stands in a somewhat puzzling contrast to the prevalent view in the theoretical literature that the procedure, by fixing interest rate and quantity at...
Persistent link: https://www.econbiz.de/10011604600
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Declining valuations and equilibrium bidding in central bank refinancing operations
Ewerhart, Christian; Cassola, Nuno; Valla, Natacha - 2006
It is argued that bidders in liquidity-providing central bank operations should typically possess declining marginal valuations. Based on this hypothesis, we construct an equilibrium in central bank refinancing operations organised as variable rate tenders. In the case of the discriminatory...
Persistent link: https://www.econbiz.de/10011604714