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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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    References listed on IDEAS

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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. 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.
    11. 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.
    12. 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.
    13. Feldhütter, Peter & Lando, David, 2008. "Decomposing swap spreads," Journal of Financial Economics, Elsevier, vol. 88(2), pages 375-405, May.
    14. 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).
    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. Gnewuch, Matthias, 2022. "Spillover effects of sovereign debt-based quantitative easing in the euro area," European Economic Review, Elsevier, vol. 145(C).
    18. Lloyd, Simon P., 2021. "Overnight indexed swap-implied interest rate expectations," Finance Research Letters, Elsevier, vol. 38(C).
    19. 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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