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The price of liquidity: Bank characteristics and market conditions
Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - 2010
We identify frictions in the market for liquidity as well as bank-specific and market-wide factors that affect the prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the overnight index swap. We have price data at the...
Persistent link: https://www.econbiz.de/10010315393
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Contagion effects of the Silicon Valley Bank run
Choi, Dong Beom; Goldsmith-Pinkham, Paul; Yorulmazer, Tanju - 2023
This paper analyzes the contagion effects associated with the failure of Silicon Valley Bank (SVB) and identifies bank-specific vulnerabilities contributing to the subsequent declines in banks' stock returns. We find that uninsured deposits, unrealized losses in held-to-maturity securities, bank...
Persistent link: https://www.econbiz.de/10014540982
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Asymmetric Supply Function Equilibrium with Constant Marginal Costs
Holmberg, Pär - 2005
In a real-time electric power auction, the bids of producers consist of committed supply as a function of price. The …. I consider a uniform-price auction with a reservation price, where demand is inelastic and exceed the market capacity …
Persistent link: https://www.econbiz.de/10010321577
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Auction design and the success of national 3G spectrum auctions
Madden, Gary; Sağlam, Ismail; Morey, Aaron - 2010
capita winning bid (per Mhz) values to auction design variables (license award process), national and mobile market …. The analysis reveals that most auction design variables independently impact on realized 3G spectrum auction revenue in a … manner consistent with auction theory. …
Persistent link: https://www.econbiz.de/10010273683
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Generalized reduced-form auctions: A network-flow approach
Che, Yeon-Koo; Kim, Jinwoo; Mierendorff, Konrad - 2013
We develop a network-flow approach for characterizing interim-allocation rules that can be implemented by ex post allocations. Our method can be used to characterize feasible interim allocations in general multi-unit auctions where agents face capacity constraints, both ceilings and floors....
Persistent link: https://www.econbiz.de/10010316879
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Unique Supply Function Equilibrium with Capacity Constraints
Holmberg, Pär - 2004
Consider a market where producers submit supply functions to a procurement auction - e.g. an electric power auction …
Persistent link: https://www.econbiz.de/10010321615
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Delegation, time inconsistency and sustainable equilibrium
Basso, Henrique S. - 2008
This paper analyzes the effectiveness of delegation in solving the time inconsistency problem of monetary policy using a microfounded general equilibrium model where delegation and reappointment are explicitly included into the government's strategy. The method of Chari and Kehoe (1990) is...
Persistent link: https://www.econbiz.de/10010321435
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Numerical Calculation of an Asymmetric Supply Function Equilibrium with Capacity Constraints
Holmberg, Pär - 2005
Producers submit committed supply functions to a procurement auction, e.g. an electricity auction, before the uncertain …
Persistent link: https://www.econbiz.de/10010321539
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Assessing Social Costs of Inefficient Procurement Design
Eklöf, Matias - 2003
procurement auction with asymmetric bidders. We adopt a constrained (piecewise linear) strategy equilibrium concept and estimate … different auction formats. The data is collected from procurement auctions of road painting in Sweden during 1993-99. The … and that an efficient second price auction would lower the expected procurement cost by 2.8 per cent. …
Persistent link: https://www.econbiz.de/10010321543
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Some Inequalities related to the analysis of electricity auctions
Hästö, Peter; Holmberg, Pär - 2005
England and Wales switched to a pay-as-bid auction with the intention of reducing wholesale electricity prices. Numerical … simultations of an electricity auction model have indicated that this should lead to decreased average prices. In this article we …
Persistent link: https://www.econbiz.de/10010321551