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various aspects of an MRO auction outcome. Our results confirm that the level of MRO rates governed short-term money market …
Persistent link: https://www.econbiz.de/10010886090
In the Eurosystem, banks' interest rate expectations should no longer have resulted in a non-zero tender spread, the difference between marginal and minimum price for liquidity, when the ECB reformed its operational framework for monetary policy implementation in March 2004 so that the policy...
Persistent link: https://www.econbiz.de/10012728927
In the nineteen-seventies, James Tobin suggested the introduction of a transaction tax on the currency market to cope with exchange rate volatility. In spite of his proposal being discussed frequently and very controversial ever since by economists and policy makers, the so-called Tobin tax has...
Persistent link: https://www.econbiz.de/10012731454
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/10012765715
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
The paper models fixed rate tenders, where a central bank offers to lend central bank funds to financial institutions. Bidders are constrained by the amount of collateral they have. We focus on the strategic interaction between bidding in the tender and trading in the interbank market after the...
Persistent link: https://www.econbiz.de/10012742454
I describe a new static (sealed-bid) auction for multiple substitute goods.  As in a two-sided simultaneous multiple … round auction (SMRA), bidders bid on multiple assets simultaneously, and bid-takers choose supply functions across assets ….  The auction yields more efficiency, revenue, information, and trade than running multiple separate auctions, but is often …
Persistent link: https://www.econbiz.de/10011004169
We use a unique data set that comprises each bank's bids in the Eurosystem's main refinancing operations and its recourse to the LOLR facility (a) to derive banks' willingness-to-pay for liquidity through a one-week repo and (b) to show that a bank's willingness-to-pay is a good indicator for...
Persistent link: https://www.econbiz.de/10010957097
In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the concentration of credit relationships and the position of a bank in the network topology of the system influence the bank’s ability to meet liquidity demand. We use quarterly data...
Persistent link: https://www.econbiz.de/10011209839
aspects of an MRO auction outcome. Our results confirm that the level of MRO rates governed short-term money market rates …
Persistent link: https://www.econbiz.de/10009372152