A Model of the Open Market Operations of the European Central Bank
J. Ayuso and
Rafael Repullo
Working Papers from Centro de Estudios Monetarios Y Financieros-
Abstract:
We construct a model to nalyze the two types of tender procedures used by the European Central Bank in its open market operations. We assume that the ECB minimizes the expected value of a loss function that depends on the quadratic difference between the interbank rate and a target interest rate that characterizes the stance of monetarty policy. We show that when the loss fuction penalizes more heavily interbank rates below the target, fixed rate tenders have a unique equilibrium characterized by extreme overbidding.
Keywords: MONETARY POLICY; MARKET; AUCTIONS (search for similar items in EconPapers)
JEL-codes: D44 E52 E58 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2000
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Citations: View citations in EconPapers (19)
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Related works:
Journal Article: A Model of the Open Market Operations of the European Central Bank (2003)
Working Paper: A Model of the Open Market Operations of the European Central Bank (2000) 
Working Paper: A Model of the Open Market Operations of the European Central Bank (2000) 
Working Paper: A Model of the Open Market Operations of the European Central Bank (2000) 
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Persistent link: https://EconPapers.repec.org/RePEc:fth:cemfdt:0011
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