Net debt supply shocks in the euro area and the implications for QE

Tobias Sebastian Blattner and Michael Joyce

No 1957, Working Paper Series from European Central Bank

Abstract: This paper examines how shocks to the net supply of government bonds affect the euro area term structure of interest rates and the wider macroeconomy. To measure net debt supply we construct a new free-float measure, which adjusts total government debt of the four largest euro area economies for foreign official holdings and the maturity of the outstanding stock of debt. Using a small macro-finance BVAR model, we estimate that the ECB JEL Classification: C5, E4, E5, G1

Keywords: ECB; government debt; macroeconomy; quantitative easing; term structure (search for similar items in EconPapers)
Date: 2016-09
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
Note: 339021
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Citations: View citations in EconPapers (36)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20161957

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