The Eurosystem money market auctions: a banking perspective

Ben Craig and Falko Fecht ()

No 506, Working Paper from Federal Reserve Bank of Cleveland

Abstract: This paper analyzes the individual bidding behavior of German banks in the money market auctions conducted by the ECB from the beginning of the third quarter of 2000 to the end of the first quarter of 2001. Our approach takes a variety of characteristics of the individual banks into account. In particular, we consider variables that capture the different use of liquidity and the different attitude towards liquidity risk of the individual banks. It turns out that these characteristics are reflected in the banks’ respective bidding behavior to a large extent. Thus our study contributes to a deeper understanding of the way liquidity risk is managed in the banking sector.

Keywords: Banks and banking, Central; Bank liquidity; European Central Bank; Interbank market (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-mac and nep-mon
Date: 2006
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Related works:
Working Paper: The eurosystem money market auctions: a banking perspective (2005)
Journal Article: The eurosystem money market auctions: A banking perspective (2007)
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Persistent link: http://EconPapers.repec.org/RePEc:fip:fedcwp:0506

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