| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4393 |
| DP4393 Multidimensional Cheap Talk | |
| Gilat Levy; Ronny Razin | |
| 发表日期 | 2004-05-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | Repo auctions are multiunit auctions regularly used by central banks to inject liquidity into the banking sector. Banks have a fundamental need to participate because they have to satisfy reserve requirements. Superficially, repo auctions resemble treasury auctions; the format and rules are similar and there is an active secondary market for the underlying asset. Using a bidder level dataset of the European Central Bank?s main repo auctions, however, we find evidence that the economic issues in repo auctions may be very different. Unlike what has been documented in the treasury auctions literature, we find no evidence that private information and the winner?s curse are important issues. Instead our findings suggest that bidders are more concerned with the loser?s nightmare, collateral, and future interest rate reductions by the ECB. Small and large bidders use different strategies, with large bidders performing better. |
| 主题 | Financial Economics |
| 关键词 | Multiunit auctions Reserve requirements Loser's nightmare Money markets Collateral Repo auctions Central bank Open market operations |
| URL | https://cepr.org/publications/dp4393 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533347 |
| 推荐引用方式 GB/T 7714 | Gilat Levy,Ronny Razin. DP4393 Multidimensional Cheap Talk. 2004. |
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