The longer term refinancing operations of the ECB
Dieter Nautz () and
No 359, Working Paper Series from European Central Bank
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)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2004359
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