The Longer Term Refinancing Operations of the ECB

60 Pages Posted: 30 Nov 2004

See all articles by Tobias Linzert

Tobias Linzert

European Central Bank (ECB); IZA Institute of Labor Economics

Dieter Nautz

Free University of Berlin (FUB) - Department of Economics

Ulrich Bindseil

European Central Bank (ECB)

Date Written: May 2004

Abstract

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.

Keywords: Monetary Policy Instruments of the ECB, Auctions, Winner's Curse, Panel Analysis of Bidding Behavior

JEL Classification: E52, D44

Suggested Citation

Linzert, Tobias and Nautz, Dieter and Bindseil, Ulrich, The Longer Term Refinancing Operations of the ECB (May 2004). Available at SSRN: https://ssrn.com/abstract=533028

Tobias Linzert (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

Dieter Nautz

Free University of Berlin (FUB) - Department of Economics ( email )

Boltzmannstrasse 20
D-14195 Berlin, 14195
Germany

HOME PAGE: http://www.wiwiss.fu-berlin.de/institute/iso/nautz/mitarbeiter/Nautz.html

Ulrich Bindseil

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
202
Abstract Views
1,637
rank
184,735
PlumX Metrics