案例库 · 财务与会计 · 财务决策 · 2010–2014
这条还没译成中文，下面是英文原文。
Klemperer's product-mix auction lets the Bank of England lend against risky collateral.
The Bank of England's Indexed Long-Term Repo uses a product-mix auction that shifts funds between collateral types as stress changes; it raised welfare ~50%.
Bank of England
那一手
A central bank that lends against a range of collateral has to decide how much to lend against risky versus safe assets, and at what price spread. A fixed rule gets that wrong when conditions change.
The Bank of England used Klemperer's product-mix auction for its Indexed Long-Term Repo operations, introduced in 2010. The PMA determines jointly the quantities lent against each collateral set (Level A gilts versus Level B sovereign and asset-backed debt) and the relative price, in one round.
Comparing the PMA to a pair of separate simultaneous auctions or a fixed reference-price auction, the Bank found it raised welfare by roughly 50%, around 2 basis points per loan, and simulations showed larger gains in a genuinely stressed period.
为什么管用
- Setting both the quantities and the price spread jointly lets the mix react to demand in a single round
- It maximises total welfare when bidders bid true values, unlike preset-quantity or fixed-price designs
- It shifts more funds to less-liquid collateral in stress, which simpler designs cannot do
可以搬走什么
For a facility that serves several kinds of collateral, run one auction that allocates across them jointly, so the mix responds to stress instead of being preset.
后来呢
The ILTR became a permanent part of the Bank's Sterling Monetary Framework, and the design was refined with Klemperer and Elizabeth Baldwin in 2014. The Independent Evaluation Office praised how it responded automatically to liquidity stress, and it has since informed auction design at other central banks, including Banco de México.
资料来源
- How auction design can make a difference: the case of the Bank's Indexed Long-Term Repo Facility
- Product-Mix Auction Design: Helping the Bank of England Manage Liquidity in Times of Stress
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