Overcrowding Versus Liquidity in the Euro Sovereign Bond Markets

Andrea Coppola, Alessandro Girardi and Gustavo Piga

No 222, CEIS Research Paper from Tor Vergata University, CEIS

Abstract: With the adoption of a common currency the degree of substitution between financial instruments supplied by EMU Member States to finance their national debts has risen. Providing the market for euro-denominated government securities with a large volume of similar financial instruments is likely to increase liquidity and lower yields. By contrast, providing an excessive volume of the same instrument might increase the return demanded by investors. This paper aims at empirically assessing the balance between liquidity and overcrowding effects by EMU countries’ issuance plans. Our results document a significant relationship between bunching in issues and bond yields.

Keywords: EMU; government bond yields; liquidity; issuance calendars (search for similar items in EconPapers)
JEL-codes: H63 H69 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2012-02-20, Revised 2012-02-20
New Economics Papers: this item is included in nep-eec
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ceistorvergata.it/RePEc/rpaper/RP222.pdf Main text (application/pdf)

Related works:
Journal Article: OVERCROWDING VERSUS LIQUIDITY IN THE EURO SOVEREIGN BOND MARKETS (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rtv:ceisrp:222

Ordering information: This working paper can be ordered from
CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
https://ceistorvergata.it

Access Statistics for this paper

More papers in CEIS Research Paper from Tor Vergata University, CEIS CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma. Contact information at EDIRC.
Bibliographic data for series maintained by Barbara Piazzi ().