The longer term refinancing operations of the ECB
Tobias Linzert,
Dieter Nautz and
Ulrich Bindseil
No 359, Working Paper Series from European Central Bank
Abstract:
This paper employs individual bidding data to analyze the empirical performance of the longer term refinancing operations (LTROs) of the European Central Bank (ECB). We investigate how banks' bidding behavior is related to a series of exogenous variables such as collateral costs, interest rate expectations, market volatility and to individual bank characteristics like country of origin, size and experience. Panel regressions reveal that a bank's bidding depends on bank characteristics. Yet, different bidding behavior generally does not translate into differences concerning bidder success. In contrast to the ECB's main refinancing operations, we find evidence for the winner's curse effect in LTROs. Our results indicate that LTROs do neither lead to market distortions nor to unfair auction outcomes. JEL Classification: E52, D44
Keywords: Auctions; Monetary Policy Instruments ECB; Winner's Curse (search for similar items in EconPapers)
Date: 2004-05
Note: 330442
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Citations: View citations in EconPapers (14)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2004359
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