A Model of The Open Market Operations of The European Central Bank  

Oleh:

Ayuso, Juan ; Repullo, Rafael

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 113 no. 490 (2003), page 883-902.
Topik: MARKETS; open market operations; central bank
Fulltext: 883.pdf (153.74KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.11 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We model the two types of tenders used by the European Central Bank in its open market operations. We assume that the ECB minimises a loss function that depends on the difference between the interbank rate and a target rate that characterises the stance of monetary policy. When the loss function penalises interbank rates below the target more heavily, fixed rate tenders have a unique equilibrium with high overbidding, while variable rate tenders have multiple equilibria with moderate overbidding. Our empirical analysis is consistent with the predictions of the model and supports the hypothesis of an asymmetric loss function.

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