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Monetary transmission right from the start: On the information content of the Eurosystem's main refinancing operations
Abbassi, Puriya; Nautz, Dieter - In: The North American Journal of Economics and Finance 23 (2012) 1, pp. 54-69
The Eurosystem's main refinancing operations (MROs) are key for the interbank money market and the monetary transmission process in the euro area. This paper investigates how money market rates respond to the information revealed by various aspects of an MRO auction outcome. Our results confirm...
Persistent link: https://www.econbiz.de/10010886090
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Monetary transmission right from the start: On the information content of the eurosystem's main refinancing operations
Abbassi, Puriya; Nautz, Dieter - Deutsche Bundesbank - 2011
The Eurosystem's main refinancing operations (MRO) are key for the interbank money market and the monetary transmission process in the euro area. This paper investigates how money market rates respond to the information revealed by various aspects of an MRO auction outcome. Our results confirm...
Persistent link: https://www.econbiz.de/10009372152
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A Model of the Open Market Operations of the European Central Bank
Ayuso, Juan; Repullo, Rafael - C.E.P.R. Discussion Papers - 2000
We construct a model to analyse the two types of tender procedures used by the European Central Bank (ECB) in its open market operations. We assume that the ECB minimizes the expected value of a loss function that depends on the quadratic difference between the interbank rate and a target...
Persistent link: https://www.econbiz.de/10005504412
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The repo auctions of the European Central Bank and the vanishing quota puzzle
Nautz, Dieter; Oechssler, Jörg - Sonderforschungsbereich 373, Quantifikation und … - 1999
Weekly repo auctions are the European Central Bank's most important policy instrument. Provided that banks bid seriously, these auctions should reveal useful information about banks' liquidity needs and the stance of monetary policy. However 1 as we show in this paper, the applied auction rules...
Persistent link: https://www.econbiz.de/10010983605
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Declining Valuations and Equilibrium Bidding in Central Bank Refinancing Operations
Ewerhart, Christian - 2007
Among the most puzzling observations for the euro money market are the bid shading in the weekly refinancing operations and the development of interest rate spreads. To explain these observations, we consider a standard divisible-good auction agrave; la Klemperer and Meyer (1989) with uniform or...
Persistent link: https://www.econbiz.de/10012778388
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The Microstructure of the Euro Money Market
Hartmann, Philipp - 2004
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/10012786142
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A Model of the Open Market Operations of the European Central Bank
Ayuso, Juan - 2003
We construct a model to analyze the two types of tender procedures used by the European Central Bank (ECB) in its open market operations. We assume that the ECB minimizes the expected value of a loss function that depends on the quadratic difference between the interbank rate and a target...
Persistent link: https://www.econbiz.de/10012740637
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The Microstructure of the Euro Money Market
Hartmann, Philipp - 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/10012742031
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Why Did the Banks Overbid? An Empirical Model of the Fixed Rate Tenders of the European Cental Bank.
Ayuso, J.; Repullo, R. - Centro de Estudios Monetarios y Financieros (CEMFI) - 2001
. The model is estimated with individual bidding data of the Spanish banks, and also with aggregate bidding data of all …
Persistent link: https://www.econbiz.de/10005776181
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Bidding Behavior in the SNB's Repo Auctions
Kraenzlin, Sébastien; Schlegel, Martin - Schweizerische Nationalbank (SNB) - 2009
banks’ bidding behavior and identify the determinants for the decision to participate as well as on the amount to tender …. Therefore, we estimate bidding functions for banks which participate regularly in the SNB’s auctions. We find that a bank’s bids … determinant of the bidding behavior is the attractiveness of the SNB’s auction rate compared to the prevailing interbank market …
Persistent link: https://www.econbiz.de/10008513044