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

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

Journal of Banking & Finance, 2018, vol. 87, issue C, 118-134

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.

Keywords: Public debt auctions; Bid-to-cover ratios; Primary and secondary markets; Primary dealers; Volatility (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G18 (search for similar items in EconPapers)
Date: 2018
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Working Paper: Bid-to-cover and yield changes around public debt auctions in the euro area (2017) Downloads
Working Paper: Bid-to-cover and yield changes around public debt auctions in the euro area (2017) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:87:y:2018:i:c:p:118-134

DOI: 10.1016/j.jbankfin.2017.10.006

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