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Banks� participation in the Eurosystem auctions and money market integration

Giuseppe Bruno (), Ernesto Maurizio Ordine () and Antonio Scalia ()
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Ernesto Maurizio Ordine: Bank of Italy, Isernia Branch

No 562, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Keywords: Bidding Behaviour; auctions; open market operations; money market; liquidity management Abstract: We perform a panel analysis of bidding in the Eurosystem auctions; using individual data that include the bidder code; size; nationality and membership in a banking group. We find that an increase in interest rate volatility lowers the probability of bidding; but induces bidders to shade rates less. Large bidders participate more regularly; while group bidders demand larger amounts; showing an aptitude to act as liquidity brokers. Our findings support the transnational bank hypothesis (Freixas- Holthausen; 2005): banks with a multinational profile use their informational advantage to arbitrage out the differences in interest rates across countries; thus fostering money market integration. (search for similar items in EconPapers)
Date: 2005-09
New Economics Papers: this item is included in nep-eec, nep-fmk and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_562_05

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