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References (9)
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Dieter Nautz (1997)
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Karl-Martin Ehrhart (2000)
European Central Bank operations: experimental investigation of the fixed rate tenderJournal of International Money and Finance, 20
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Juan Ayuso, Rafael Repullo (2000)
A Model of the Open Market Operations of the European Central BankEuropean Finance
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Dieter Nautz (1998)
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The empirical performance of the ECB's repo auctions: evidence from aggregated and individual bidding dataJournal of International Money and Finance, 20
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Nyborg Nyborg, Strebulaev Strebulaev (2001)
Collateral and Short Squeezing of Liquidity in Fixed Rate TendersJournal of International Money and Finance, 20
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Kjell Nyborg, Ilya Strebulaev (2001)
Collateral and Short Squeezing of Liquidity in Fixed Rate TendersMonetary Economics
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Dieter Nautz, Elmar Wolfstetter (1997)
Bid shading and risk aversion in multi-unit auctions with many biddersEconomics Letters, 56
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Breitung Breitung, Nautz Nautz (2001)
The Empirical Performance of the ECB's Repo AuctionsJournal of International Money and Finance, 20
- Publisher
- Wiley
- Copyright
- Copyright © 2003 Wiley Subscription Services, Inc., A Wiley Company
- ISSN
- 0347-0520
- eISSN
- 1467-9442
- DOI
- 10.1111/1467-9442.t01-1-00005
- Publisher site
- See Article on Publisher Site
Abstract
Until June 2000 the European Central Bank (ECB) used fixed rate tenders for its weekly repo auctions. A switch to variable rate tenders became necessary due to massive overbidding by banks. In this paper we introduce a stylized game among banks to investigate this overbidding phenomenon. Our results confirm the weakness of the fixed rate tender format and indicate that the ECB's liquidity management has significantly improved since the switch to the variable rate system. Yet recent episodes of rate cut expectations suggest that the ECB's practice of setting a minimum bid rate should be abandoned in favor of a more symmetric interest rate target.
Journal
The Scandinavian Journal of Economics – Wiley
Published: Jun 1, 2003