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首页> 外文期刊>Journal of International Money and Finance >A positive theory of fixed-rate funds-supplying operations in an accommodative financial environment
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A positive theory of fixed-rate funds-supplying operations in an accommodative financial environment

机译：适应性金融环境下固定利率资金供给操作的积极理论

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This paper studies bidding behaviors in fixed-rate funds-supplying auctions using a simple game-theoretic model. While the existing literature argues that such auction schemes are vulnerable to the overbidding problem, the bid-to-cover ratio for the Bank of Japan's current fixed-rate operations has remained stable. After reviewing the stylized repo game and the mechanism of overbidding under the fixed-rate operations, we argue that the current framework of fixed-rate funds-supplying auctions operated by the Bank of Japan and the recent accommodative financial environment make bidders' loss functions locally satiated. Given this argument, it is shown that any stable bid-to-cover ratios other than either undersubscription or overbidding can be supported by an equilibrium. Finally, we empirically find that the ratio under the Bank of Japan operations has been influenced by such financial conditions proxied by market interest rates and term spreads.
机译：本文使用简单的博弈论模型研究了固定利率资金供应拍卖中的竞价行为。尽管现有文献认为此类拍卖方案容易受到竞价问题的困扰，但日本银行当前固定利率业务的买入本付比仍保持稳定。在回顾了程式化的回购博弈以及固定利率操作下的超额竞价机制后，我们认为日本银行目前的固定利率供资拍卖框架以及最近的宽松金融环境使竞标者的亏损功能在本地饱足。给出这个论点，可以证明，除了订阅不足或出价过高以外，任何稳定的投标/覆盖比率都可以由均衡来支持。最后，我们根据经验发现，日本银行业务的比率受市场利率和期限利差代理的此类财务状况的影响。

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