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

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File(s): https://doi.org/10.26509/frbc-wp-200506
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Bibliographic Information

Provider: Federal Reserve Bank of Cleveland

Part of Series: Working Papers (Old Series)

Publication Date: 2006

Number: 0506