Forward looking behavior in ECB liquidity auctions: Evidence from the pre-crisis period

Edgar Vogel

Journal of International Money and Finance, 2016, vol. 61, issue C, 120-142

Abstract: Using data from the pre-crisis period we investigate banks' joint bidding behavior in the ECB's Main Refinancing Operations (MRO) and Longer Term Refinancing Operations (LTRO). We test whether banks bid at lower rates in MROs before the LTRO and at higher rates after the LTRO, compared to other operations. We motivate this by findings from the auction literature suggesting that agents' bidding behavior is forward looking and takes sequences of future auctions into account.

Keywords: Central bank auctions; Repo auctions; Liquidity auctions; Bidding behavior; Monetary policy instruments (search for similar items in EconPapers)
JEL-codes: C33 D44 D84 E52 E58 G14 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:61:y:2016:i:c:p:120-142

DOI: 10.1016/j.jimonfin.2015.10.003

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