Declining valuations and equilibrium bidding in central bank refinancing operations

Christian Ewerhart, Nuno Cassola and Natacha Valla

International Journal of Industrial Organization, 2010, vol. 28, issue 1, 30-43

Abstract: Among the most puzzling observations on the euro money market are the discount in the weekly refinancing operations, the more aggressive bidding under uncertainty, the temporary flatness of bid schedules, and the development of interest rate spreads. To explain these observations, we consider a standard divisible-good auction with either uniform or discriminatory pricing, and place it in the context of a secondary market for interbank credit. The analysis links the empirical evidence to the endogenous choice of collateral in credit transactions. We also discuss the Eurosystem's preference for the discriminatory auction, the remuneration of reserves, and the impact of the recent market turmoil.

Keywords: Eurosystem; Discriminatory; auction; Uniform-price; auction; Bid; shading; Collateral; Remuneration; of; reserves (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7187(09)00046-0
Full text for ScienceDirect subscribers only

Related works:
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)
Working Paper: Declining valuations and equilibrium bidding in central bank refinancing operations (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:indorg:v:28:y:2010:i:1:p:30-43

Access Statistics for this article

International Journal of Industrial Organization is currently edited by P. Bajari, B. Caillaud and N. Gandal

More articles in International Journal of Industrial Organization from Elsevier
Bibliographic data for series maintained by Catherine Liu ().