期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2007
卷号：1
出版社：European Central Bank
摘要：This paper contributes to the existing literature on central bank repo auctions. 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 nd evidence of a statistically signi cant 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
关键词：repo auctions; monetary policy implementation; primary money;market market; multi unit auctions; discriminatory auctions; collateral;central bank; nonparametric estimation
