... confirm that the interest rate, within the sample, is integratedof order one. Furthermore, it is co-integrated with the policy rate, i∗t. Therefore, the interest rates, it,ismodelledinfirst differences, ... expectedmarginal lending r ate is lower than the current minimum bid rate. In this case obtaining liquidity in the futurefrom the marginal lending facility is expected to be cheaper than obtaining it ... day of the maintenance period is downward sloping. Consequently, a small amount of underbiddingdoes not push the expected interbank rate to the marginal lending rate. It does increase the expected...