| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14099 |
| DP14099 Unconventional Monetary Policy and Auction Cycles of Eurozone Sovereign Debt | |
| Roel Beetsma; Josha van Spronsen | |
| 发表日期 | 2019-11-05 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We provide evidence that the ECB's unconventional monetary policy dampens yield cycles in secondary markets for Eurozone sovereign debt around new sovereign debt auctions. This dampening effect tends to be larger when market volatility is higher. Cycles caused by domestic auctions and the role of market volatility are largest for countries with low credit ratings. Auctions by these countries also generate highly-significant auction cycles in other countries. Auction cycles can have a non-negligible effect on debt-servicing costs, but these may be contained by concentrating debt issuance in tranquil periods and by coordinating auction calendars among countries, so as to maximize the dispersion of auction activity in time. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Auction cycles Sovereign debt Asset purchase programs Primary market Secondary market Market volatility |
| URL | https://cepr.org/publications/dp14099 |
| 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/542986 |
| 推荐引用方式 GB/T 7714 | Roel Beetsma,Josha van Spronsen. DP14099 Unconventional Monetary Policy and Auction Cycles of Eurozone Sovereign Debt. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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