Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions

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

Research output: Contribution to journalArticleScientificpeer-review


Building on a unique dataset of Eurozone sovereign debt auctions, this paper analyzes the determinants of their bid-to-cover ratios, which is the most common measure of the outcome of an auction. We find that the secondary market yield on the same maturity instrument, past domestic and foreign bid-to-cover ratios and occasionally the number of primary dealers tend to exert a positive effect on the current bid-to-cover ratio, while the opposite is the case for the supply and the volatility of the yield. The results thus suggest that past information helps to predict the demand in auctions.
Original languageEnglish
Pages (from-to)96-120
JournalJournal of Empirical Finance
Publication statusPublished - Sept 2020


  • Eurozone public debt auctions
  • bid-to-cover
  • maturity
  • demand
  • supply
  • yield
  • volatility


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