Repo Auctions and the Market for Liquidity
利用欧洲央行回购拍卖的投标者数据，发现该市场信息有效但分配和操作存在低效，大投标者比小投标者更易进入银行间市场，且央行抵押品折扣未平衡机会成本。
What is the nature of imperfections in the market for liquidity? Studying bidder level data from European Central Bank (ECB) repo auctions, we find that this market appears to be informationally efficient in the sense that participants do not have private information about future short‐term rates. However, auction allocations affect banks' subsequent behavior in a way that is consistent with a degree of allocational and operational inefficiency. Also, large bidders appear to have better access to the interbank market than small ones. Finally, the evidence suggests that the ECB uses collateral haircuts that do not equilibrate opportunity costs.