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Dangerous liaisons? Debt supply and convenience yield spillovers in the euro area

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  • Matthieu Bellon
  • Matthias Gnewuch

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  • Matthieu Bellon & Matthias Gnewuch, 2024. "Dangerous liaisons? Debt supply and convenience yield spillovers in the euro area," Working Papers 63, European Stability Mechanism, revised 06 Nov 2024.
    • Handle: RePEc:stm:wpaper:63
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    File URL: https://www.esm.europa.eu/system/files/document/2024-11/ESM%20WP%2063.pdf
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    1. Caporale, Guglielmo Maria & Girardi, Alessandro, 2013. "Fiscal spillovers in the Euro area," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 84.1-84.16.
    2. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2012. "The Aggregate Demand for Treasury Debt," Journal of Political Economy, University of Chicago Press, vol. 120(2), pages 233-267.
    3. Antonakakis, Nikolaos & Vergos, Konstantinos, 2013. "Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 258-272.
    4. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
    5. Emmanuel Farhi & Matteo Maggiori, 2018. "A Model of the International Monetary System," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(1), pages 295-355.
    6. Raj Chetty, 2006. "A New Method of Estimating Risk Aversion," American Economic Review, American Economic Association, vol. 96(5), pages 1821-1834, December.
    7. Kaldorf, Matthias & Röttger, Joost, 2023. "Convenient but risky government bonds," Discussion Papers 15/2023, Deutsche Bundesbank.
    8. Rigobon, Roberto & Sack, Brian, 2004. "The impact of monetary policy on asset prices," Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1553-1575, November.
    9. Pablo Burriel & Mar Delgado-Téllez & Camila Figueroa & Iván Kataryniuk & Javier J. Pérez, 2024. "Estimating the contribution of macroeconomic factors to sovereign bond spreads in the euro area," Working Papers 2408, Banco de España.
    10. Ricardo Reis, 2022. "Debt Revenue and the Sustainability of Public Debt," Journal of Economic Perspectives, American Economic Association, vol. 36(4), pages 103-124, Fall.
    11. Ehrmann, Michael & Fratzscher, Marcel, 2017. "Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 26-44.
    12. Feldhütter, Peter & Lando, David, 2008. "Decomposing swap spreads," Journal of Financial Economics, Elsevier, vol. 88(2), pages 375-405, May.
    13. Andras Lengyel, 2022. "Treasury Supply Shocks and the Term Structure of Interest Rates in the UK," MNB Working Papers 2022/6, Magyar Nemzeti Bank (Central Bank of Hungary).
    14. Walker Ray & Michael Droste & Yuriy Gorodnichenko, 2024. "Unbundling Quantitative Easing: Taking a Cue from Treasury Auctions," Journal of Political Economy, University of Chicago Press, vol. 132(9), pages 3115-3172.
    15. Sami Alpanda & Serdar Kabaca, 2020. "International Spillovers of Large-Scale Asset Purchases," Journal of the European Economic Association, European Economic Association, vol. 18(1), pages 342-391.
    16. Gomez-Cram, Roberto & Kung, Howard & Lustig, Hanno, 2024. "Can U.S. Treasury Markets Add and Subtract?," Research Papers 4198, Stanford University, Graduate School of Business.
    17. Lloyd, Simon P., 2021. "Overnight indexed swap-implied interest rate expectations," Finance Research Letters, Elsevier, vol. 38(C).
    18. Zaghum Umar & Yasir Riaz & Adam Zaremba, 2021. "Spillover and risk transmission in the components of the term structure of eurozone yield curve," Applied Economics, Taylor & Francis Journals, vol. 53(18), pages 2141-2157, April.
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    Cited by:

    1. Gergely Hudecz & Edmund Moshammer & Marco Onofri, 2024. "Option-implied bond spread risk," Working Papers 66, European Stability Mechanism, revised 25 Nov 2024.

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