The Euro-Area Government Securities Markets. Recent Developments and Implications for Market Functioning
This paper analyses recent key developments in euro-area government bond markets and their main implications for central banks and for market functioning. The introduction of the euro is found to have significantly affected the relative pricing of securities. The spreads over German bonds of previously high-yield debt have narrowed significantly whereas the spreads of all other euro-area sovereign debt have widened following the introduction of the euro. Market microstructure factors, such as relative market liquidity and the cheapest-to-deliver status of bonds, are also found to play a part in determining relative prices in addition to differences in credit risk. Finally, the evidence suggests that the reduction in the relative supply of government bonds has hitherto had a limited effect in the euro area, in contrast to the evidence in the US market.
|Date of creation:||2001|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.bde.es/|
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:bde:wpaper:0120. 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: (María Beiro. Electronic Dissemination of Information Unit. Research Department. Banco de España)
If references are entirely missing, you can add them using this form.