A positive theory of fixed-rate funds-supplying operations in an accommodative financial environment

Junnosuke Shino*

*この研究の対応する著者

研究成果: Article査読

2 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)595-610
ページ数16
ジャーナルJournal of International Money and Finance
32
1
DOI
出版ステータスPublished - 2013 1 1
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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