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Domestic and Cross-Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area

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Listed:
  • Beetsma, Roel
  • Giuliodori, Massimo
  • Hanson, Jesper
  • de Jong, Frank

Abstract

This paper provides evidence of spillovers from foreign primary public debt issues into domestic secondary market auction cycles in the euro area. It also confirms the presence of such auction cycles in response to domestic debt issues. These results are consistent with the theory of primary dealers’ limited risk-bearing capacity. Consistent with the theory, domestic auction cycles in response to new debt issues are stronger during the crisis period, while the cross-border effects tend to be stronger in the pre-crisis period, possibly as a result of reduced integration of euro area sovereign bond markets during the crisis.

Suggested Citation

  • Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2016. "Domestic and Cross-Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area," CEPR Discussion Papers 11122, Centre for Economic Policy Research.
    • Handle: RePEc:cpr:ceprdp:11122
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    References listed on IDEAS

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    Cited by:

    1. Antón, Miguel & Mayordomo, Sergio & Rodríguez‐Moreno, María, 2018. "Dealing with dealers: Sovereign CDS comovements," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 96-112.
    2. Cafiso, Gianluca, 2019. "Sovereign bond markets when auctions take place: Evidence from Italy," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 406-430.
    3. 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.

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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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