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Autoren: 
Cassola, Nuno
Ewerhart, Christian
Morana, Claudio
Datum: 
2007
Reihe/Nr.: 
ECB Working Paper 793
Zusammenfassung: 
This paper contributes to the existing literature on central bank repoauctions. It is based on a structural econometric approach, whereby the primitives of bidding behavior (individual bid schedules and bid-shading components) are directly estimated. With the estimated parameters we calibrate a theoretical model in order to illustrate some comparative static results. Overall the results suggest that strategic and optimal behavior is prevalent in ECB tenders. We find evidence of a statistically significant bid-shading component, even though the number of bidders is very large. Bid- shading increases with liquidity uncertainty and decreases with the number of participants.
Schlagwörter: 
monetary policy implementation
primary money
repo auctions
JEL: 
G21
G12
D44
E43
E50
Dokumentart: 
Working Paper
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