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Net debt supply shocks in the euro area and the implications for QE

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  • Blattner, Tobias Sebastian
  • Joyce, Michael A. S.

Abstract

This paper examines how shocks to the net supply of government bonds affect the euro area term structure of interest rates and the wider macroeconomy. To measure net debt supply we construct a new free-float measure, which adjusts total government debt of the four largest euro area economies for foreign official holdings and the maturity of the outstanding stock of debt. Using a small macro-finance BVAR model, we estimate that the ECB JEL Classification: C5, E4, E5, G1

Suggested Citation

  • Blattner, Tobias Sebastian & Joyce, Michael A. S., 2016. "Net debt supply shocks in the euro area and the implications for QE," Working Paper Series 1957, European Central Bank.
  • Handle: RePEc:ecb:ecbwps:20161957
    Note: 339021
    as

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    More about this item

    Keywords

    ECB; government debt; macroeconomy; quantitative easing; term structure;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • G1 - Financial Economics - - General Financial Markets

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