Bidding and performance in repo auctions: evidence from ECB open market operations

Arbeitspapier

We study bidder bahavior and performance in 53 main refinancing operations (repo auctions) of the European Central Bank (ECB). The data set starts with the first auctions after the ECB changed from fixed rate tenders to variable rate tenders. We find that private information and the winnner's curse are not important in these auctions. The minimum bid rate and the level of secondary market rates play a crucial role in bidder behavior and auction performance. We also document that large bidders do better than small bidders, apparently because they use 'smarter' strategies which involve using more bids and having more kurtosis in their individual bid distribution. The penultimate auction in every reserve maintenance period has less underpricing that the other auctions within the maintenance period. Finally, from the two cases of underbidding covered by the sample period, it appears this was driven by particularly large cutrback by large, rather than small, bidders

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 157

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Asset Pricing; Trading Volume; Bond Interest Rates ; Auctions ; Interest Rates: Determination, Term Structure, and Effects ; Monetary Policy, Central Banking, and the Supply of Money and Credit: General
• Thema: Efficiency ; liquidity ; loser's nightmare ; Open market operations ; repo auctions

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Nyborg, Kjell G. ; Strebulaev, Ilya A. ; Bindseil, Ulrich
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2002

Weitere Informationen

• Handle: http://hdl.handle.net/10419/152591
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ