Domestic and Cross-Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area

Roel Beetsma, Massimo Giuliodori, Jesper Hanson and Frank de Jong

No 11122, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: This paper provides evidence of spillovers from foreign primary public debt issues into domestic secondary market auction cycles in the euro area. It also confirms the presence of such auction cycles in response to domestic debt issues. These results are consistent with the theory of primary dealers’ limited risk-bearing capacity. Consistent with the theory, domestic auction cycles in response to new debt issues are stronger during the crisis period, while the cross-border effects tend to be stronger in the pre-crisis period, possibly as a result of reduced integration of euro area sovereign bond markets during the crisis.

Keywords: Auctions; Auction cycles; Cross-border effects; Public debt; Crisis; Primary dealers; Limited risk-bearing capacity; Primary markets; Secondary markets (search for similar items in EconPapers)
JEL-codes: G12 G18 (search for similar items in EconPapers)
Date: 2016-02
New Economics Papers: this item is included in nep-eec, nep-fmk and nep-mac
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Citations: View citations in EconPapers (3)

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