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Structural Econometric Approach to Bidding in the Main refinancing Operations of the Eurosystem

Cassola, Nuno; Ewerhart, Christian; Morana, Claudio - International Centre for Economic Research (ICER) - 2006

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/10004972538

Quantitative Easing and the Liquidity Channel of Monetary Policy

Herrenbrueck, Lucas - Department of Economics, Simon Fraser University - 2014

Currently, we have only a limited understanding of how central bank purchases of illiquid assets (“quantitative easing”) affect long-term interest rates, borrowing costs, and the real economy. Since the historical record of quantitative easing is sparse, theoretical work is needed to guide...

Persistent link: https://www.econbiz.de/10011096839

Over-the-Counter Trade and the Value of Assets as Collateral

Geromichalos, Athanasios; Lee, Jiwon; Lee, Seungduck; … - Economics Department, University of California-Davis - 2014

We study asset pricing within a general equilibrium model where unsecured credit is ruled out, and a real asset helps agents carry out mutually beneficial transactions by serving as collateral. A unique feature of our model is that the agent who provides the loan might have a low valu- ation for...

Persistent link: https://www.econbiz.de/10011093808

Monetary Policy, Asset Prices, and Liquidity in Over-the-Counter Markets

Geromichalos, Athanasios; Herrenbrueck, Lucas - Economics Department, University of California-Davis - 2012

We revisit a traditional topic in monetary economics: the relationship between asset prices and monetary policy. We study a model in which money helps facilitate trade in decentralized markets, as in Lagos andWright (2005), and real assets are traded in an over-the-counter (OTC) market, as in...

Persistent link: https://www.econbiz.de/10010826376

The dynamic adjustments of stock prices to inflation disturbances

Valcarcel, Victor J. - In: Journal of Economics and Business 64 (2012) 2, pp. 117-144

. Since the 1960s, the stock price-inflation correlation is estimated to be relatively more stable than the volatility of … either series, both of which have experienced substantial change—albeit volatility in US economic activity is estimated to … inflation volatility estimates during the Great Recession comparable to those of the Great Inflation period of the 1970s. While …

Persistent link: https://www.econbiz.de/10011065964

Understanding Asset Prices: Determinants and Policy Implications.

Clerc, L. - Banque de France - 2007

The paper provides an overview of recent asset price developments in France in the light of analytical research carried out at the Banque de France. Like in many other countries, historically low interest rates have boosted asset price dynamics in France over recent years. The paper attempts to...

Persistent link: https://www.econbiz.de/10004998854

Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations

Bindseil, Ulrich; Nyborg, Kjell G; Strebulaev, Ilya - C.E.P.R. Discussion Papers - 2004

Repo auctions are multiunit auctions regularly used by central banks to inject liquidity into the banking sector. Banks have a fundamental need to participate because they have to satisfy reserve requirements. Superficially, repo auctions resemble treasury auctions; the format and rules are...

Persistent link: https://www.econbiz.de/10005067452

Monetary policy, expected inflation and inflation risk premia

Ravenna, Federico; Seppälä, Juha - Suomen Pankki - 2007

small and display little volatility. Hence, monetary policy authorities can use the difference between nominal and real … significantly negatively correlated and that short-term real interest rates display greater volatility than expected inflation …

Persistent link: https://www.econbiz.de/10005648925

Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations

Bindseil, Ulrich; Nyborg, Kjell G.; Strebulaev, Ilya A. - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2005

Repo auctions are used to inject central bank funds against collateral into the banking sector. The ECB uses standard discriminatory auctions and hundreds of banks participate. The amount auctioned over the monthly reserve maintenance period is in principle exactly what banks collectively need...

Persistent link: https://www.econbiz.de/10005645022

Uncollateralized Overnight Loans Settled in LVTS

Hendry, Scott; Kamhi, Nadja - Bank of Canada - 2007

Loan-level data on the uncollateralized overnight loan market is generated using payment data from Canada's Large Value Transfer System (LVTS) and a modified version of the methodology proposed in Furfine (1999). There were on average just under 100 loans extended in this market each day from...

Persistent link: https://www.econbiz.de/10005808390