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

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

No 11932, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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: bid-to-cover ratios; primary and secondary markets; primary dealers; public debt auctions; volatility (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G18 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec
Date: 2017-03
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Journal Article: Bid-to-cover and yield changes around public debt auctions in the euro area (2018) Downloads
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