全球智库信息集成服务系统(G2TT): DP9659 Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP9659
	DP9659 Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis
	Roel Beetsma; Frank de Jong; Massimo Giuliodori
发表日期	2013-09-22
出版年	2013
语种	英语
摘要	Exploring the period since the inception of the euro, we show that secondary-market yields on Italian public debt increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present for German public debt. However, these yield movements on the Italian debt are largely confined to the period of the crisis since mid-2007. We also find that there is some tendency of the yield movements to be larger when the demand for the new issue is smaller relative to its supply. Our results are consistent with a framework in which a small group of primary dealers require compensation for inventory risk and this compensation needs to be higher when market uncertainty is larger. We also find that the secondary-market behaviour of series with a maturity close to the auctioned series, but for which there is no auction, is very similar to the secondary-market behaviour of the auctioned series. These findings support an explanation of yield movements based on the behaviour of primary dealers with limited risk-bearing capacity.
主题	Financial Economics
关键词	Auctions Bid-to-cover ratio Crisis Euro-zone Event study Germany Italy Primary dealers Public debt Yield movements
URL	https://cepr.org/publications/dp9659
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/538495
推荐引用方式 GB/T 7714	Roel Beetsma,Frank de Jong,Massimo Giuliodori. DP9659 Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis. 2013.