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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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Lender of last resort versus buyer of last resort : the impact of the European Central Bank actions on the bank-sovereign nexus
Acharya, Viral V.; Pierret, Diane; Steffen, Sascha - 2016 - This version: February 29, 2016
In summer 2011, elevated sovereign risk in Eurozone peripheral countries increased the solvency risk of Eurozone banks … public funds to increase their exposure to risky domestic debt, so that when solvency risk in the Eurozone worsened the run … of private short-term investors from Eurozone banks intensified. (ii) In contrast, ECB’s announcement of being a …
Persistent link: https://www.econbiz.de/10011436391
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How to monitor the exit from the Eurosystem`s unconventional monetary policy : is EONIA dead and gone?
Hejmans, Ronald; Heuver, Richard; Gorgi, Zion - 2016
Persistent link: https://www.econbiz.de/10011444105
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Banking on bonds : the new links between states and markets
Gabor, Daniela; Ban, Cornel - In: Journal of common market studies : JCMS 54 (2016) 3, pp. 617-635
Persistent link: https://www.econbiz.de/10011503464
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The euro interbank repo market
Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - 2014 - This version: March 2014
The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the...
Persistent link: https://www.econbiz.de/10010410308
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Bidding and performance in repo auctions : evidence from ECB open market operations
Bindseil, Ulrich; Nyborg, Kjell G.; Strebulaev, Ilya - 2004
Persistent link: https://www.econbiz.de/10002086178
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The empirical performance of the ECB's repo auctions : evidence from aggregated and individual bidding data
Breitung, Jörg; Nautz, Dieter - In: Journal of international money and finance 20 (2001) 6, pp. 839-856
Persistent link: https://www.econbiz.de/10001637039
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The Scarcity Effect of Quantitative Easing on Repo Rates : Evidence from the Euro Area
Arrata, William - 2019
Most short-term interest rates in the Euro area are below the European Central Bank deposit facility rate, the rate at which the central bank remunerates banks' excess reserves. This unexpected development coincided with the start of the Public Sector Purchase Program (PSPP). In this paper, we...
Persistent link: https://www.econbiz.de/10012895124
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The scarcity effect of QE on repo rates : evidence from the euro area
Arrata, William; Nguyen, Benoît; Rahmouni-Rousseau, Imene - In: Journal of financial economics 137 (2020) 3, pp. 837-856
Persistent link: https://www.econbiz.de/10012588371
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Collateral Scarcity Premia in Euro Area Repo Markets
Ferrari, Massimo; Guagliano, Claudia; Mazzacurati, Julien - 2021
Collateral plays a very important role in financial markets. Without easy access to high-quality collateral, dealers and market participants would find it more costly to trade, with a negative impact on market liquidity and the real economy through increased financing costs. The role of...
Persistent link: https://www.econbiz.de/10013248963