Declining Valuations and Equilibrium Bidding Central Bank Refinancing Operations

N. Cassola, Christian Ewerhart and Natacha Valla

Working papers from Banque de France

Abstract: It is argued that bidders in liquidity-providing central bank operations should typically possess declining marginal valuations. Based on this hypothesis, we construct equilibrium in central bank refinancing operations organised as variable rate tenders. In the case of the discriminatory pricing rule, bid shading does not disappear in large populations. The predictions of the model are shown to be consistent with the data for the euro area.

Keywords: Open market operations; Uniform price auction; Discriminatory auction; Eurosystem. (search for similar items in EconPapers)
JEL-codes: D44 E52 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2006
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Declining valuations and equilibrium bidding in central bank refinancing operations (2010)
Working Paper: Declining Valuations And Equilibrium Bidding In Central Bank Refinancing Operations (2007)
Working Paper: Declining valuations and equilibrium bidding in central bank refinancing operations (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:151

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