Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153102
Authors: 
Ewerhart, Christian
Cassola, Nuno
Valla, Natacha
Year of Publication: 
2006
Series/Report no.: 
ECB Working Paper 668
Abstract: 
It is argued that bidders in liquidity-providing central bank operations should typically possess declining marginal valuations. Based on this hypothesis, we construct an equilibrium in central bank refinancing operations organised as variable rate tenders. In the case of the discriminatory pricing rule, bid shading does not disappear in large populations. The predictions of the model are shown to be consistent with the data for the euro area.
Subjects: 
discriminatory auction
Eurosystem
Open market operations
uniform price auction
JEL: 
D44
E52
Document Type: 
Working Paper
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