| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11932 |
| DP11932 Bid-to-cover and yield changes around public debt auctions in the euro area | |
| Roel Beetsma; Massimo Giuliodori; Jesper Hanson; Frank de Jong | |
| 发表日期 | 2017-03-23 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Earlier research has shown that euro-area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple theoretical model of primary dealer behavior, in which the primary dealers receive a signal about the value of the asset auctioned. |
| 主题 | Financial Economics |
| 关键词 | Public debt auctions Bid-to-cover ratios Primary and secondary markets Primary dealers Volatility |
| URL | https://cepr.org/publications/dp11932 |
| 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/540744 |
| 推荐引用方式 GB/T 7714 | Roel Beetsma,Massimo Giuliodori,Jesper Hanson,et al. DP11932 Bid-to-cover and yield changes around public debt auctions in the euro area. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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