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Declining valuations and equilibrium bidding in central bank refinancing operations
Ewerhart, Christian (contributor); Cassola, Nuno (contributor) - 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/10003358659
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Funding liquidity risk : definition and measurement
Drehmann, Mathias; Nikolaou, Kleopatra - 2009
In this paper we propose definitions of funding liquidity and funding liquidity risk and present a simple, yet intuitive, measure of funding liquidity risk based on data from open market operations. Our empirical analysis uses a unique data set of 135 main refinancing operation auctions...
Persistent link: https://www.econbiz.de/10003832073
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Bidding behaviour in the ECB's main refinancing operations during the financial crisis
Eisenschmidt, Jens; Hirsch, Astrid; Linzert, Tobias - 2009
Liquidity provision through its repo auctions has been one of the main instruments of the European Central Bank (ECB) to address the recent tensions in financial markets since summer 2007. In this paper, we analyse banks' bidding behaviour in the ECB's main refinancing operations (MROs) during...
Persistent link: https://www.econbiz.de/10003866003
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Why the effective price for money exceeds the policy rate in the ECB tenders?
Välimäki, Tuomas - 2008
The tender spread, i.e. the difference between the effective price for money in the ECB's main refinancing operations and the prevailing policy rate, is one of the main determinants behind the evolution of the EONIA with respect to the ECB's operational target. This study assesses the reasons...
Persistent link: https://www.econbiz.de/10003826027
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Structural econometric approach to bidding in the main refinancing operations of the Eurosystem
Cassola, Nuno (contributor); Ewerhart, Christian (contributor) - 2007
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...
Persistent link: https://www.econbiz.de/10003516661
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Central bank asset purchases and auction cycles revisited : new evidence from the euro area
Ferrara, Federico M. - 2024
This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the … public debt auctions. The findings indicate that Eurosystem's asset purchase flows mitigate yield cycles during auction … auction cycles is more sizeable and precisely estimated for purchases of securities with medium-term maturities and in …
Persistent link: https://www.econbiz.de/10014527031
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Benefits and costs of the ETS in the EU, a lesson learned for the CBAM design
Böning, Justus; Di Nino, Virginia; Folger, Till - 2023
The EU is revising its emissions trading system (ETS) and plans to impose a carbon border adjustment mechanism (CBAM) on imports. We evaluate the efficacy of the ETS retrospectively and its anti-competitive effects. We find that the ETS contributed to cut greenhouse gas (GHG) emissions in the EU...
Persistent link: https://www.econbiz.de/10013490761
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Financing the low-carbon transition in Europe
Carradori, Olimpia; Giuzio, Margherita; Kapadia, Sujit; … - 2023
Using evidence from the EU emissions trading system, we collect verified emissions of close to 4000 highly polluting and mostly non-listed firms responsible for 26% of EU's emissions. Over the period 2013-2019, we find a non-linear relationship between leverage and emissions. A firm with higher...
Persistent link: https://www.econbiz.de/10014315149
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The effect of monetary policy on inflation heterogeneity along the income distribution
Ampudia, Miguel; Ehrmann, Michael; Strasser, Georg - 2023
This paper studies the effect of monetary policy on inflation along the income distribution in several euro area countries. It shows that monetary policy has differential effects and identifies two channels which point in opposite directions. On the one hand, different consumption shares imply...
Persistent link: https://www.econbiz.de/10014478496
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Price effects of sovereign debt auctions in the euro-zone : the role of the crisis
Beetsma, Roel; Giuliodori, Massimo; Jong, Frank de; … - 2013
Persistent link: https://www.econbiz.de/10010195378