Bidder Behavior in Repo Auctions without Minimum Bid Rate: Evidence from the Bundesbank

Arbeitspapier

A distinguishing feature of the ECB's monetary policy setup is the preannouncement of a minimum bid rate in its weekly repo auctions. However, whenever interest rates are expected to decline, the minimum bid rate is viewed as too high and banks refrain from bidding, severely impeding the ECB's money market management. To shed more light on banks' underbidding, we perform a panel analysis of the bidder behavior in the repo auctions of the Bundesbank where no minimum bid rate was set. Our results indicate that neither bank's participation nor the submitted bid amount is significantly affected by an expected rate cut. This suggests that abandoning the minimum bid rate might increase the efficiency of the ECB's money market management.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Paper Series 1 ; No. 2003,13

Classification and Topics

• Classification: Wirtschaft ; Monetary Policy ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models ; Auctions
• Subject: Monetary Policy Instruments ; Auctions ; Bidder Behavior ; Panel Analysis ; Pensionsgeschäft ; Refinanzierung ; Auktion ; Zins ; Erwartungstheorie ; Zinspolitik ; Deutschland

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Nautz, Dieter ; Linzert, Tobias ; Breitung, Jörg
• Event: Veröffentlichung
• (who): Deutsche Bundesbank
• (where): Frankfurt a. M.
• (when): 2003

Further information

• Handle: http://hdl.handle.net/10419/19601
• Last update: 10.03.2025, 11:42 AM CET