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Structural econometric approach to bidding in the main refinancing operations of the Eurosystem

Nuno Cassola, Christian Ewerhart and Claudio Morana

No 793, Working Paper Series from European Central Bank

Abstract: This paper contributes to the existing literature on central bank repoauctions. It is based on a structural econometric approach, whereby the primitives of bidding behaviour (individual bid schedules and bid-shading components) are directly estimated. With the estimated parameters we calibrate a theoretical model in order to illustrate some comparative static results. Overall the results suggest that strategic and optimal behaviour is prevalent in ECB tenders. We find evidence of a statistically significant bid-shading component, even though the number of bidders is very large. Bid-shading increases with liquidity uncertainty and decreases with the number of participants. JEL Classification: G21, G12, D44, E43, E50

Keywords: monetary policy implementation; primary money; repo auctions (search for similar items in EconPapers)
Date: 2007-08
Note: 334845
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Journal Article: Structural econometric approach to bidding in the main refinancing operations of the Eurosystem (2007)
Working Paper: Structural Econometric Approach to Bidding in the Main refinancing Operations of the Eurosystem (2006) Downloads
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