Cross-border auction cycle effects of sovereign bond issuance in the Euro area

R.M.W.J. Beetsma, M. Giuliodori, J. Hanson, Frank de Jong

Research output: Contribution to journalArticleScientificpeer-review

Abstract

We provide evidence for the euro area of spillovers from foreign public debt auctions into domestic secondary‐market auction cycles. We also confirm existing evidence of such spillovers from domestic issues into the domestic secondary market. Consistent with a theory of primary dealers’ limited risk‐bearing capacity, we find that auction cycles from domestic issues are stronger during the recent crisis period, whereas cross‐border effects are stronger in the precrisis period, but this evidence is not strong. This finding likely reflects the opposing effects of reduced sovereign bond market integration during the crisis and higher yield covariances caused by more market volatility.
Original languageEnglish
Pages (from-to)1401-1440
JournalJournal of Money, Credit and Banking
Volume50
Issue number7
DOIs
Publication statusPublished - Oct 2018

Fingerprint

Cross-border
Auctions
Sovereign bonds
Euro area
Spillover
Market volatility
Secondary market
Dealers
Bond market
Public debt
Market integration

Keywords

  • auctions
  • auction cycles
  • cross-border effects
  • public debt
  • crisis
  • primary dealers
  • limited risk-bearing capacity
  • primary markets
  • secondary markets

Cite this

Beetsma, R.M.W.J. ; Giuliodori, M. ; Hanson, J. ; de Jong, Frank. / Cross-border auction cycle effects of sovereign bond issuance in the Euro area. In: Journal of Money, Credit and Banking. 2018 ; Vol. 50, No. 7. pp. 1401-1440.
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Cross-border auction cycle effects of sovereign bond issuance in the Euro area. / Beetsma, R.M.W.J.; Giuliodori, M.; Hanson, J.; de Jong, Frank.

In: Journal of Money, Credit and Banking, Vol. 50, No. 7, 10.2018, p. 1401-1440.

Research output: Contribution to journalArticleScientificpeer-review

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