Declining valuations and equilibrium bidding in central bank refinancing operations

Christian Ewerhart, Nuno Cassola and Natacha Valla

No 668, Working Paper Series from European Central Bank

Abstract: It is argued that bidders in liquidity-providing central bank operations should typically possess declining marginal valuations. Based on this hypothesis, we construct an 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. JEL Classification: D44, E52

Keywords: discriminatory auction; Eurosystem; open market operations; uniform price auction (search for similar items in EconPapers)
Date: 2006-08
Note: 334845
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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 Central Bank Refinancing Operations (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2006668

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