The longer term refinancing operations of the ECB

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 
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
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Metadaten
Author:Tobias Linzert, Dieter Nautz, Ulrich Bindseil
URN:urn:nbn:de:hebis:30-36811
Document Type:Working Paper
Language:English
Date of Publication (online):2007/01/29
Year of first Publication:2004
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2007/01/29
Tag:Auctions ; Monetary Policy Instruments of the ECB ; Panel Analysis of Bidding Behavior; Winner’s Curse
Source:Working paper series / European Central Bank ; 359
HeBIS PPN:222077646
Institutes:Wirtschaftswissenschaften
Dewey Decimal Classification:330 Wirtschaft
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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