The Impact of COVID-19 on Italian Sovereign Bond Market Quality
Author
Abstract
Suggested Citation
DOI: 10.1007/s10693-024-00437-7
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Jean-Sébastien Fontaine & René Garcia, 2012.
"Bond Liquidity Premia,"
The Review of Financial Studies, Society for Financial Studies, vol. 25(4), pages 1207-1254.
- Jean-Sébastien Fontaine & René Garcia, 2009. "Bond Liquidity Premia," Staff Working Papers 09-28, Bank of Canada.
- Beetsma, Roel & Giuliodori, Massimo & de Jong, Frank & Widijanto, Daniel, 2016.
"Price effects of sovereign debt auctions in the euro-zone: The role of the crisis,"
Journal of Financial Intermediation, Elsevier, vol. 25(C), pages 30-53.
- Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2013. "Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis," CEPR Discussion Papers 9659, C.E.P.R. Discussion Papers.
- Beetsma, R.M.W.J. & Giuliodori, M. & de Jong, F.C.J.M. & Widijanto, D., 2014. "Price effects of sovereign debt auctions in the Euro-zone : The role of the crisis," Other publications TiSEM 8e7aa91b-fe20-460e-9ff2-e, Tilburg University, School of Economics and Management.
- Roel Beetsma & Massimo Giuliodori & Frank de Jong & Daniel Widijanto, 2013. "Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis," Tinbergen Institute Discussion Papers 13-150/VI, Tinbergen Institute.
- Giuliodori, Massimo & Beetsma, Roel & de Jong, Frank & Widijanto, Daniel, 2013. "Price effects of sovereign debt auctions in the Euro-zone: the role of the crisis," Working Paper Series 1595, European Central Bank.
- Jean‐Sébastien Fontaine & Guillaume Nolin, 2019.
"Measuring Limits Of Arbitrage In Fixed‐Income Markets,"
Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(3), pages 525-552, September.
- Jean-Sébastien Fontaine & Guillaume Nolin, 2017. "Measuring Limits of Arbitrage in Fixed-Income Markets," Staff Working Papers 17-44, Bank of Canada.
- He, Zhiguo & Nagel, Stefan & Song, Zhaogang, 2022.
"Treasury inconvenience yields during the COVID-19 crisis,"
Journal of Financial Economics, Elsevier, vol. 143(1), pages 57-79.
- Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
- Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," NBER Working Papers 27416, National Bureau of Economic Research, Inc.
- Fulvio Corsi, 2009. "A Simple Approximate Long-Memory Model of Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 7(2), pages 174-196, Spring.
- Andreas Schrimpf & Hyun Song Shin & Vladyslav Sushko, 2020. "Leverage and margin spirals in fixed income markets during the Covid-19 crisis," BIS Bulletins 2, Bank for International Settlements.
- Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
- Roel Beetsma & Massimo Giuliodori & Jesper Hanson & Frank De Jong, 2018. "Cross‐Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(7), pages 1401-1440, October.
- Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2018.
"Bid-to-cover and yield changes around public debt auctions in the euro area,"
Journal of Banking & Finance, Elsevier, vol. 87(C), pages 118-134.
- Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2017. "Bid-to-cover and yield changes around public debt auctions in the euro area," CEPR Discussion Papers 11932, C.E.P.R. Discussion Papers.
- Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2017. "Bid-to-cover and yield changes around public debt auctions in the euro area," Working Paper Series 2056, European Central Bank.
- Dong Lou & Hongjun Yan & Jinfan Zhang, 2013.
"Anticipated and Repeated Shocks in Liquid Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 1891-1912.
- Hongjun Yan & Jinfan Zhang & Dong Lou, 2011. "Anticipated and Repeated Shocks in Liquid Markets," FMG Discussion Papers dp684, Financial Markets Group.
- Jinfan Zhang & Hongjun Yan & Dong Lou, 2011. "Anticipated and Repeated Shocks in Liquid Markets," 2011 Meeting Papers 1446, Society for Economic Dynamics.
- M. Schneider & F. Lillo, 2019.
"Cross-impact and no-dynamic-arbitrage,"
Quantitative Finance, Taylor & Francis Journals, vol. 19(1), pages 137-154, January.
- Michael Schneider & Fabrizio Lillo, 2016. "Cross-impact and no-dynamic-arbitrage," Papers 1612.07742, arXiv.org, revised Aug 2017.
- Enrique Alberola-Ila & Gong Cheng & Andrea Consiglio & Stavros A. Zenios, 2022. "Debt sustainability and monetary policy: the case of ECB asset purchases," BIS Working Papers 1034, Bank for International Settlements.
- Sigaux, Jean-David, 2024. "Trading ahead of treasury auctions," Journal of Banking & Finance, Elsevier, vol. 158(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Klingler, Sven & Sundaresan, Suresh, 2023. "Diminishing treasury convenience premiums: Effects of dealers’ excess demand and balance sheet constraints," Journal of Monetary Economics, Elsevier, vol. 135(C), pages 55-69.
- Albuquerque, Rui & Costa, José & Faias, Jose, 2022.
"Price elasticity of demand and risk-bearing capacity in sovereign bond auctions,"
CEPR Discussion Papers
17095, C.E.P.R. Discussion Papers.
- José Miguel Cardoso da Costa & Rui Albuquerque, 2023. "Price elasticity of demand and risk-bearing capacity in sovereign bond auctions," Working Papers w202302, Banco de Portugal, Economics and Research Department.
- Bekaert, Geert & Hoerova, Marie, 2016.
"What do asset prices have to say about risk appetite and uncertainty?,"
Journal of Banking & Finance, Elsevier, vol. 67(C), pages 103-118.
- Bekaert, Geert & Hoerova, Marie & Scheicher, Martin, 2009. "What do asset prices have to say about risk appetite and uncertainty?," Working Paper Series 1037, European Central Bank.
- Andras Lengyel & Massimo Giuliodori, 2022.
"Demand Shocks for Public Debt in the Eurozone,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(7), pages 1997-2028, October.
- Andras Lengyel & Massimo Giuliodoril, 2020. "Demand shocks for public debt in the Eurozone," Working Papers 674, DNB.
- Amin, Shehryar & Tédongap, Roméo, 2023. "The changing landscape of treasury auctions," Journal of Banking & Finance, Elsevier, vol. 148(C).
- Ferrara, Federico Maria, 2024. "Central bank asset purchases and auction cycles revisited: new evidence from the euro area," Working Paper Series 2927, European Central Bank.
- Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2020. "Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 96-120.
- Helwege, Jean & Wang, Liying, 2021. "Liquidity and price pressure in the corporate bond market: evidence from mega-bonds," Journal of Financial Intermediation, Elsevier, vol. 48(C).
- Dentler, Alexander & Rossi, Enzo, 2024. "Public debt management announcements: A welfare-theoretic analysis," Economic Modelling, Elsevier, vol. 131(C).
- Jeffrey Gao & Jianjian Jin & Jacob Thompson, 2018. "The Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market," Staff Working Papers 18-35, Bank of Canada.
- Narayan Bulusu & Sermin Gungor, 2018. "Government of Canada Securities in the Cash, Repo and Securities Lending Markets," Discussion Papers 18-4, Bank of Canada.
- Çelebi, Ali İzzeddin & Demir, Alper Tunga & Özbekler, Ali Gencay, 2025. "A policy-driven preferred habitat in the Turkish Government bond market," Economics Letters, Elsevier, vol. 246(C).
- Bandi, Federico M. & Pirino, Davide & Renò, Roberto, 2024. "Systematic staleness," Journal of Econometrics, Elsevier, vol. 238(1).
- Jason Allen & Milena Wittwer, 2023.
"Centralizing Over-the-Counter Markets?,"
Journal of Political Economy, University of Chicago Press, vol. 131(12), pages 3310-3351.
- Jason Allen & Milena Wittwer, 2021. "Centralizing Over-the-Counter Markets?," Staff Working Papers 21-39, Bank of Canada.
- Vissing-Jorgensen, Annette, 2021.
"The Treasury Market in Spring 2020 and the Response of the Federal Reserve,"
Journal of Monetary Economics, Elsevier, vol. 124(C), pages 19-47.
- Annette Vissing-Jorgensen, 2021. "The Treasury Market in Spring 2020 and the Response of the Federal Reserve," NBER Working Papers 29128, National Bureau of Economic Research, Inc.
- Annette Vissing-Jørgensen, 2021. "The Treasury market in spring 2020 and the response of the Federal Reserve," BIS Working Papers 966, Bank for International Settlements.
- Vissing-Jørgensen, Annette, 2021. "The Treasury Market in Spring 2020 and the Response of the Federal Reserve," CEPR Discussion Papers 16410, C.E.P.R. Discussion Papers.
- Bats, Joost & Hoondert, Jurian J.A., 2022. "The relationship between central bank auctions and bill market liquidity," Working Paper Series 2708, European Central Bank.
- Andrieș, Alin Marius & Ongena, Steven & Sprincean, Nicu, 2021.
"The COVID-19 Pandemic and Sovereign Bond Risk,"
The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Alin Marius Andries & Steven Ongena & Nicu Sprincean, 2020. "The COVID-19 Pandemic and Sovereign Bond Risk," Swiss Finance Institute Research Paper Series 20-42, Swiss Finance Institute.
- Gabor Pinter & Chaojun Wang & Junyuan Zou, 2024.
"Size Discount and Size Penalty: Trading Costs in Bond Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 37(7), pages 2156-2190.
- Gábor Pintér & Chaojun Wang & Junyuan Zou, 2021. "Size Discount and Size Penalty Trading Costs in Bond Markets," Discussion Papers 2114, Centre for Macroeconomics (CFM).
- Pintér, Gábor & Wang, Chaojun & Zou, Junyuan, 2022. "Size discount and size penalty: trading costs in bond markets," Bank of England working papers 970, Bank of England.
- Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
- Nina Boyarchenko & Thomas M. Eisenbach & Pooja Gupta & Or Shachar & Peter Van Tassel, 2018.
"Bank-Intermediated Arbitrage,"
Liberty Street Economics
20181018, Federal Reserve Bank of New York.
- Boyarchenko, Nina & Eisenbach, Thomas & Gupta, Pooja & Shachar, Or & Van Tassel, Peter, 2020. "Bank-Intermediated Arbitrage," CEPR Discussion Papers 15097, C.E.P.R. Discussion Papers.
- Nina Boyarchenko & Thomas M. Eisenbach & Pooja Gupta & Or Shachar & Peter Van Tassel, 2018. "Bank-intermediated arbitrage," Staff Reports 858, Federal Reserve Bank of New York.
More about this item
Keywords
Auction premium; COVID-19; Monetary policy; Bond markets;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:jfsres:v:67:y:2025:i:1:d:10.1007_s10693-024-00437-7. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.