Overcrowding Versus Liquidity In The Euro Sovereign Bond Markets
AbstractWith the adoption of a common currency the degree of substitution between financial instruments supplied by EMU Member States to finance their national debts has risen. Providing the market for euro-denominated government securities with a large volume of similar financial instruments is likely to increase liquidity and lower yields. By contrast, providing an excessive volume of the same instrument might increase the return demanded by investors. This paper aims at empirically assessing the balance between liquidity and overcrowding effects by EMU countriesâ issuance plans. Our results document a significant relationship between bunching in issues and bond yields.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.
Volume (Year): 18 (2013)
Issue (Month): 4 (October)
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Web page: http://www.interscience.wiley.com/jpages/1076-9307/
Other versions of this item:
- Andrea Coppola & Alessandro Girardi & Gustavo Piga, 2012. "Overcrowding Versus Liquidity in the Euro Sovereign Bond Markets," CEIS Research Paper 222, Tor Vergata University, CEIS, revised 20 Feb 2012.
- H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
- H69 - Public Economics - - National Budget, Deficit, and Debt - - - Other
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