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

Gespeichert in:

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:	1990-2014 Öffentliche Anleihe Auktionstheorie Signalling Wertpapierhandel Sekundärmarkt Rendite Volatilität Schätzung Eurozone Arbeitspapier Online-Publikation
Quelle:	Verbunddaten SWB Lizenzfreie Online-Ressourcen


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author	Beetsma, Roel, Giuliodori, Massimo, Hanson, Jesper, Jong, Frank de
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contents	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.
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spelling	Beetsma, Roel 1967- VerfasserIn (DE-588)128381949 (DE-627)37262796X (DE-576)297113186 aut, Bid-to-cover and yield changes around public debt auctions in the euro area Roel Beetsma, Massimo Giuliodori, Jesper Hanson, Frank de Jong, Frankfurt am Main, Germany European Central Bank [2017], 1 Online-Ressource (circa 49 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working paper series / European Central Bank no 2056 (May 2017), 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., 1.10\x 1990-2014 stw, 1.1\x Öffentliche Anleihe (DE-627)091380804 (DE-2867)11611-2 stw, 1.2\x Auktionstheorie (DE-627)091348404 (DE-2867)10138-0 stw, 1.3\x Signalling (DE-627)091389372 (DE-2867)11223-4 stw, 1.4\x Wertpapierhandel (DE-627)091400465 (DE-2867)13742-5 stw, 1.5\x Sekundärmarkt (DE-627)091416922 (DE-2867)29609-6 stw, 1.6\x Rendite (DE-627)091386519 (DE-2867)12272-0 stw, 1.7\x Volatilität (DE-627)091398819 (DE-2867)18679-3 stw, 1.8\x Schätzung (DE-627)091387892 (DE-2867)19037-3 stw, 1.9\x Eurozone (DE-627)091358566 (DE-2867)19336-0 stw, Arbeitspapier DE-206, Online-Publikation DE-206, Giuliodori, Massimo 1972- VerfasserIn (DE-588)129023787 (DE-627)516472992 (DE-576)297453238 aut, Hanson, Jesper VerfasserIn aut, Jong, Frank de 1966- VerfasserIn (DE-588)129231584 (DE-627)391458930 (DE-576)180801139 aut, Europäische Zentralbank Working paper series no 2056 (May 2017) 205600 (DE-627)372370322 (DE-576)108090442 (DE-600)2123559-4 1725-2806, http://hdl.handle.net/10419/175680 Resolving-System kostenfrei Volltext, https://dx.doi.org/10.2866/348869 Resolving-System Volltext, http://hdl.handle.net/10419/175680 LFER, LFER 2019-07-22T00:00:00Z
spellingShingle	Beetsma, Roel, Giuliodori, Massimo, Hanson, Jesper, Jong, Frank de, Bid-to-cover and yield changes around public debt auctions in the euro area, Europäische Zentralbank, Working paper series, no 2056 (May 2017), 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., 1990-2014, Öffentliche Anleihe, Auktionstheorie, Signalling, Wertpapierhandel, Sekundärmarkt, Rendite, Volatilität, Schätzung, Eurozone, Arbeitspapier, Online-Publikation
swb_id_str	9887855936
title	Bid-to-cover and yield changes around public debt auctions in the euro area
title_auth	Bid-to-cover and yield changes around public debt auctions in the euro area
title_full	Bid-to-cover and yield changes around public debt auctions in the euro area Roel Beetsma, Massimo Giuliodori, Jesper Hanson, Frank de Jong
title_fullStr	Bid-to-cover and yield changes around public debt auctions in the euro area Roel Beetsma, Massimo Giuliodori, Jesper Hanson, Frank de Jong
title_full_unstemmed	Bid-to-cover and yield changes around public debt auctions in the euro area Roel Beetsma, Massimo Giuliodori, Jesper Hanson, Frank de Jong
title_in_hierarchy	no 2056 (May 2017). Bid-to-cover and yield changes around public debt auctions in the euro area ([2017])
title_short	Bid-to-cover and yield changes around public debt auctions in the euro area
title_sort	bid to cover and yield changes around public debt auctions in the euro area
topic	1990-2014, Öffentliche Anleihe, Auktionstheorie, Signalling, Wertpapierhandel, Sekundärmarkt, Rendite, Volatilität, Schätzung, Eurozone, Arbeitspapier, Online-Publikation
topic_facet	Öffentliche Anleihe, Auktionstheorie, Signalling, Wertpapierhandel, Sekundärmarkt, Rendite, Volatilität, Schätzung, Eurozone, Arbeitspapier, Online-Publikation
url	http://hdl.handle.net/10419/175680, https://dx.doi.org/10.2866/348869