Optimal allotment policy in central bank open market operations

Christian Ewerhart; Nuno Cassola; Steen Ejerskov; Natacha Valla

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Optimal allotment policy in central bank open market operations

机译：中央银行公开市场操作中的最优分配政策

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This article derives a central bank's optimal liquidity supply towards a money market with an unrestricted lending facility. We show that when the effect of liquidity on market rates is not too small, and the monetary authority is concerned with both interest rates and liquidity conditions, then the optimal allotment policy may entail a 'discontinuous' reaction to initial conditions. In particular, the model predicts a threshold level of liquidity below which the central bank will not bail out the banking system. An estimation of the liquidity effect for the euro area suggests that the discontinuity might have contributed to the Eurosystem's tight response to occurrences of underbidding during the period June 2000 through March 2004.

机译：本文得出了具有不受限制的贷款便利的中央银行对货币市场的最佳流动性供应。我们表明，当流动性对市场利率的影响不太小，且货币当局同时关注利率和流动性条件时，最优分配政策可能会对初始条件产生“不连续”反应。特别是，该模型预测了流动性的阈值水平，在该阈值水平以下，中央银行将不会纾困银行体系。对欧元区流动性影响的估计表明，这种中断可能导致了欧元体系对2000年6月至2004年3月期间出现的竞价不足的紧缩反应。

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来源
《The European Journal of Finance》 |2009年第4期|405-420|共16页
作者
Christian Ewerhart; Nuno Cassola; Steen Ejerskov; Natacha Valla;
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作者单位

University of Zurich and NCCR Finrisk, Zurich, Switzerland;

European Central Bank, Frankfurt, Germany;

Danmarks Nationalbank, Copenhagen, Denmark;

Banque de France, Paris, France;

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原文格式 PDF
正文语种 eng
中图分类
关键词
open market operations; liquidity effect; standing facilities; underbidding;

机译：公开市场操作;流动性效应;站立设施;竞价不足;

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7. Optimal allotment policy in central bank open market operations [O] . Ewerhart, Christian, Cassola, Nuno, Ejerskov, Steen, 2009

机译：中央银行公开市场操作中的最优分配政策

Optimal allotment policy in central bank open market operations

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