Vulnerability of fixed-rate funds-supplying operations to overbidding: An experimental approach

Yukihiko Funaki, Junnosuke Shino*, Nobuyuki Uto

*この研究の対応する著者

研究成果: Article査読

抄録

While the European Central Bank experienced severe overbidding in the conduct of its fixed-rate operations, the Bank of Japan has not. Theoretical analyses argue that the reason is that the currently accommodative financial environment in Japan has made bidders' objective functions locally satiated. We conduct an experiment with fixed-rate operations and find that, even as participants' initial demands are large, an explosion of bids does not arise if the objective functions are sufficiently satiated. We also estimate the bid functions from the experimental data and a simple calibration based on the functions indicates that fixed-rate operations are vulnerable to overbidding even when some degree of satiation is preserved.

本文言語English
論文番号100489
ジャーナルGlobal Finance Journal
46
DOI
出版ステータスPublished - 2020 11

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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