Working Paper
The Eurosystem money market auctions: a banking perspective
Abstract: This paper analyzes the individual bidding behavior of German banks in the money market auctions conducted by the ECB from the beginning of the third quarter of 2000 to the end of the first quarter of 2001. Our approach takes a variety of characteristics of the individual banks into account. In particular, we consider variables that capture the different use of liquidity and the different attitude towards liquidity risk of the individual banks. It turns out that these characteristics are reflected in the banks? respective bidding behavior to a large extent. Thus our study contributes to a deeper understanding of the way liquidity risk is managed in the banking sector.
Keywords: Banks and banking, Central; Bank liquidity; European Central Bank; Interbank market;
https://doi.org/10.26509/frbc-wp-200506
Access Documents
File(s):
https://doi.org/10.26509/frbc-wp-200506
Description: Persistent link
File(s):
File format is application/pdf
https://www.clevelandfed.org/-/media/project/clevelandfedtenant/clevelandfedsite/publications/working-papers/2005/wp-0506-the-eurosystem-money-market-auctions-a-banking-perspective-pdf.pdf
Description: Full text
Authors
Bibliographic Information
Provider: Federal Reserve Bank of Cleveland
Part of Series: Working Papers (Old Series)
Publication Date: 2006
Number: 0506