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Bid-to-cover and yield changes around public debt auctions in the euro area

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Personen und Körperschaften: Beetsma, Roel (VerfasserIn), Giuliodori, Massimo (VerfasserIn), Hanson, Jesper (VerfasserIn), Jong, Frank de (VerfasserIn)
Titel: Bid-to-cover and yield changes around public debt auctions in the euro area/ Roel Beetsma, Massimo Giuliodori, Jesper Hanson, Frank de Jong
Format: E-Book
Sprache: Englisch
veröffentlicht:
Frankfurt am Main, Germany European Central Bank [2017]
Gesamtaufnahme: Europäische Zentralbank: Working paper series ; no 2056 (May 2017)
Schlagwörter:
Quelle: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Details
Zusammenfassung: Earlier research has shown that euro-area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple theoretical model of primary dealer behavior, in which the primary dealers receive a signal about the value of the asset auctioned.
Umfang: 1 Online-Ressource (circa 49 Seiten); Illustrationen
ISBN: 9789289927789
928992778X
DOI: 10.2866/348869