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Permanent URL to this publication: http://dx.doi.org/10.5167/uzh-30034

Bindseil, Ulrich; Nyborg, Kjell G; Strebulaev, Ilya A (2009). Repo auctions and the market for liquidity. Journal of Money, Credit and Banking, 41(7):1391-1421.

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Abstract

What is the nature of imperfections in the market for liquidity? Studying bidder level data from European Central Bank (ECB) repo auctions, we find that this market appears to be informationally efficient in the sense that participants do not have private information about future short-term rates. However, auction allocations affect banks' subsequent behavior in a way that is consistent with a degree of allocational and operational inefficiency. Also, large bidders appear to have better access to the interbank market than small ones. Finally, the evidence suggests that the ECB uses collateral haircuts that do not equilibrate opportunity costs.

Citations

8 citations in Web of Science®
11 citations in Scopus®
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17 downloads since deposited on 11 Feb 2010
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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:October 2009
Deposited On:11 Feb 2010 02:28
Last Modified:30 Nov 2012 16:49
Publisher:Wiley-Blackwell
ISSN:0022-2879
Publisher DOI:10.1111/j.1538-4616.2009.00261.x
Other Identification Number:merlin-id:6927

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