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 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
| Author: | Tobias Linzert, Dieter Nautz, Ulrich Bindseil |
|---|---|
| URN: | urn:nbn:de:hebis:30-36811 |
| Parent Title (German): | Europäische Zentralbank: Working paper series ; No. 359 |
| Series (Serial Number): | European Central Bank: Working paper series (359) |
| Publisher: | Europ. Central Bank |
| Place of publication: | Frankfurt am Main |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2004 |
| Year of first Publication: | 2004 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2007/01/29 |
| Tag: | Auctions; Monetary Policy Instruments of the ECB; Panel Analysis of Bidding Behavior; Winner’s Curse |
| HeBIS-PPN: | 222077646 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  Deutsches Urheberrecht |
