Overcrowding Versus Liquidity In The Euro Sovereign Bond Markets
With 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 countries’ issuance plans. Our results document a significant relationship between bunching in issues and bond yields.
(This abstract was borrowed from another version of this item.)
Volume (Year): 18 (2013)
Issue (Month): 4 (October)
|Contact details of provider:|| Web page: http://www.interscience.wiley.com/jpages/1076-9307/|
|Order Information:||Web: http://jws-edcv.wiley.com/jcatalog/JournalsCatalogOrder/JournalOrder?PRINT_ISSN=1076-9307|
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.:
- Schuknecht, Ludger & von Hagen, Jürgen & Wolswijk, Guido, 2010.
"Government bond risk premiums in the EU revisited: the impact of the financial crisis,"
Working Paper Series
1152, European Central Bank.
- von Hagen, Jürgen & Schuknecht, Ludger & Wolswijk, Guido, 2011. "Government bond risk premiums in the EU revisited: The impact of the financial crisis," European Journal of Political Economy, Elsevier, vol. 27(1), pages 36-43, March.
- Schuknecht, Ludger & von Hagen, Jürgen & Wolswijk, Guido, 2009. "Government Bond Risk Premiums in the EU revisited: The Impact of the Financial Crisis," CEPR Discussion Papers 7499, C.E.P.R. Discussion Papers.
- Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger, 2004.
"Sovereign risk premia in the European government bond market,"
Working Paper Series
0369, European Central Bank.
- Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger, 2004. "Sovereign risk premia in the European government bond market," ZEI Working Papers B 26-2003, University of Bonn, ZEI - Center for European Integration Studies.
- Keloharju, Matti & Malkamäki, Markku & Nyborg, Kjell G. & Rydqvist, Kristian, 2002.
"A Descriptive analysis of the finnish treasury bond market 1991-1999,"
Research Discussion Papers
16/2002, Bank of Finland.
- Matti Keloharju & Markku Malkamäki & Kjell G. Nyborg & Kristian Rydqvist, 2004. "A descriptive analysis of the Finnish treasury bond market 1991–1999," Finance 0405017, EconWPA.
- Bruce Mizrach, 2008. "Jump and Cojump Risk in Subprime Home Equity Derivatives," Departmental Working Papers 200802, Rutgers University, Department of Economics.
- Guglielmo Maria Caporale & Alessandro Girardi, 2010.
"Price Formation on the EuroMTS Platform,"
Discussion Papers of DIW Berlin
977, DIW Berlin, German Institute for Economic Research.
- Missale, Alessandro, 1999. "Public Debt Management," OUP Catalogue, Oxford University Press, number 9780198290858, December.
- Hans J. Blommestein, 2009. "New challenges in the use of governement debt issuance procedures, techniques and policies in OECD markets," OECD Journal: Financial Market Trends, OECD Publishing, vol. 2009(1), pages 197-208.
- Piga, Gustavo, 1998. "In Search of an Independent Province for the Treasuries: How Should Public Debt Be Managed?," Journal of Economics and Business, Elsevier, vol. 50(3), pages 257-275, May.
- 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.
When requesting a correction, please mention this item's handle: RePEc:wly:ijfiec:v:18:y:2013:i:4:p:307-318. 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: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.