Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions

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

Journal of Empirical Finance, 2020, vol. 58, issue C, 96-120

Abstract: Building on a unique dataset of Eurozone sovereign debt auctions, this paper analyzes the determinants of their bid-to-cover ratios, which is the most common measure of the outcome of an auction. We find that the secondary market yield on the same maturity instrument, past domestic and foreign bid-to-cover ratios and occasionally the number of primary dealers tend to exert a positive effect on the current bid-to-cover ratio, while the opposite is the case for the supply and the volatility of the yield. The results thus suggest that past information helps to predict the demand in auctions.

Keywords: Eurozone public debt auctions; Bid-to-cover; Maturity; Demand; Supply; Yield; Volatility (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G18 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:58:y:2020:i:c:p:96-120

DOI: 10.1016/j.jempfin.2020.05.005

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