Advanced Search
MyIDEAS: Login to save this paper or follow this series

Watering the Garden of Government Securities:Measuring the "Bunching" Effect in Euro Sovereign Bond Markets

Contents:

Author Info

  • Andrea Coppola

    ()

  • Gustavo Piga

Abstract

The adoption of a common currency raised the degree of substitution between financial instruments supplied by EU Member States to finance their national debts. In this framework, our paper looks at a particular determinant of liquidity-related spreads in euro-area government bonds. Simultaneous issuance of similar bonds floods the market with paper and could lead to higher funding costs for sovereign borrowers. We test the significance of this problem, over-supplying liquidity due to a bunching of contemporaneous issues, in a government bond market where borrowers do not coordinate their issuance plans. We find that there is a significant relationship between bunching in issues and higher yield spreads. Moreover, in line with the existing literature, we find a negative correlation between liquidity and bond yields.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.dt.tesoro.it/modules/documenti_it/analisi_progammazione/working_papers/n.-5-2008---.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Department of the Treasury, Ministry of the Economy and of Finance in its series Working Papers with number wp2008-5.

as in new window
Length: 22
Date of creation:
Date of revision:
Handle: RePEc:itt:wpaper:wp2008-5

Contact details of provider:
Email:
Web page: http://www.dt.tesoro.it
More information through EDIRC

Related research

Keywords: EMU; government bond yields; liquidity; calendar of issuance;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger, 2004. "Sovereign risk premia in the European government bond market," Working Paper Series 0369, European Central Bank.
  2. Missale, Alessandro, 1999. "Public Debt Management," OUP Catalogue, Oxford University Press, number 9780198290858, September.
  3. Biais, Bruno & Renucci, Antoine & Saint-Paul, Gilles, 2004. "Liquidity and the Cost of Funds in the European Treasury Market," IDEI Working Papers 285, Institut d'Économie Industrielle (IDEI), Toulouse.
  4. Poterba, James M. & Rueben, Kim S., 2001. "Fiscal News, State Budget Rules, and Tax-Exempt Bond Yields," Journal of Urban Economics, Elsevier, vol. 50(3), pages 537-562, November.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:itt:wpaper:wp2008-5. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marina Sabatini).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.