Price effects of sovereign debt auctions in the euro-zone: The role of the crisis

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• 作者：Roel Beetsma^a ; ¹ ; ^{r.m.w.j.beetsma@uva.nl" class="auth_mail" title="E-mail the corresponding author} ; Massimo Giuliodori^b ; ¹ ; ^{m.giuliodori@uva.nl" class="auth_mail" title="E-mail the corresponding author} ; Frank de Jong^c ; ^{f.dejong@uvt.nl" class="auth_mail" title="E-mail the corresponding author} ; Daniel Widijanto^d ; ² ; ^{widijanto@bngvb.nl" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Public debt ; Auctions ; Crisis ; Primary dealers
• 刊名：Journal of Financial Intermediation
• 出版年：2016
• 出版时间：January 2016
• 年：2016
• 卷：25
• 期：Complete
• 页码：30-53
• 全文大小：752 K

文摘

We show that new public debt issues cause an auction cycle for Italian secondary-market debt, but not for German debt. The cycle is mainly observed for the crisis period since mid-2007 and is larger when the crisis, as measured by yield volatility and CDS spreads of primary dealers, is more intense. Volatility seems to be the main driving factor. The cycle is also present in secondary-market series with maturities close to the auctioned series. Our findings are consistent with the theory of primary dealers’ limited risk-bearing capacity. There is also weak evidence of spill-overs from foreign auctions to domestic markets.