Bidding behavior in the SNB’s repo auctions

Sébastien Kraenzlin and Martin Schlegel

Journal of International Money and Finance, 2012, vol. 31, issue 2, 170-188

Abstract: The Swiss National Bank (SNB) provides reserves to market participants via fixed rate tender auctions. We analyze the banks’ bidding behavior and identify the determinants for the decision to participate as well as on the amount to tender. We find that a bank’s bids from the previous day, the amount of maturing repo operations with the SNB as well as the maturing volume on the interbank repo market have for most banks a significant effect. The autonomous factors (government balances at the SNB and currency in circulation) are of only minor importance. A further determinant is the attractiveness of the SNB’s auction rate compared to the prevailing interbank market repo rate. Further, the question is addressed whether the bidding behavior changed in the financial market crisis of 2007/2008. There is little evidence of a systematic change in bidding behavior in the crisis. This results from the fact that the SNB has addressed the volatile demand for reserves in the crisis with overnight fine-tuning operations.

Keywords: Open market operations; Bidding behavior; Fixed rate tender auction; Repo; Switzerland (search for similar items in EconPapers)
JEL-codes: D44 E52 E58 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Working Paper: Bidding Behavior in the SNB's Repo Auctions (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:31:y:2012:i:2:p:170-188

DOI: 10.1016/j.jimonfin.2011.10.001

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