haku: @author Nautz, D. / yhteensä: 8
viite: 8 / 8
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| Tekijä: | Nautz, D. |
| Otsikko: | How auctions reveal information: A case study on German REPO rates |
| Lehti: | Journal of Money, Credit and Banking
1997 : FEB, VOL. 29:1, p. 17-25 |
| Asiasana: | MONEY MARKETS AUCTIONS CONTROL GERMANY |
| Kieli: | eng |
| Tiivistelmä: | Securities repurchase agreements (REPOs) are considered as German's Bundesbank's most important tool of money market management and for the control of the money market base. A reliable link between the outcome of the auction and money market is required for an adequate type of auction. The Bundesbank changed the auction rule from a Dutch auction to a discriminatory auction, in order to enforce this link. This paper demonstrates that the Bundesbank's change of the pricing rule led to consequences implied by auction theoretical results. In Dutch auction the information content of a relatively high REPO rate was poor, explaining why the influence of the Bundesbank on the money market was weak in this case. In case of a discriminatory auction it was opposite. |
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