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

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Authors and Corporations: Beetsma, Roel (Author), Giuliodori, Massimo (Author), Hanson, Jesper (Author), Jong, Frank de (Author)
Title: Bid-to-cover and yield changes around public debt auctions in the euro area/ Roel Beetsma, Massimo Giuliodori, Jesper Hanson, Frank de Jong
Type of Resource: E-Book
Language: English
published:
Frankfurt am Main, Germany European Central Bank [2017]
Series: Europäische Zentralbank: Working paper series ; no 2056 (May 2017)
Subjects:
1990-2014
Öffentliche Anleihe
Auktionstheorie
Signalling
Wertpapierhandel
Sekundärmarkt
Rendite
Volatilität
Schätzung
Eurozone
Arbeitspapier
Online-Publikation
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Description
Abstract: 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.
Physical Description: 1 Online-Ressource (circa 49 Seiten); Illustrationen
ISBN: 9789289927789
928992778X
DOI: 10.2866/348869