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Cross‐Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area

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  • ROEL BEETSMA
  • MASSIMO GIULIODORI
  • JESPER HANSON
  • FRANK DE JONG

Abstract

We provide evidence for the euro area of spillovers from foreign public debt auctions into domestic secondary‐market auction cycles. We also confirm existing evidence of such spillovers from domestic issues into the domestic secondary market. Consistent with a theory of primary dealers’ limited risk‐bearing capacity, we find that auction cycles from domestic issues are stronger during the recent crisis period, whereas cross‐border effects are stronger in the precrisis period, but this evidence is not strong. This finding likely reflects the opposing effects of reduced sovereign bond market integration during the crisis and higher yield covariances caused by more market volatility.

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  • Roel Beetsma & Massimo Giuliodori & Jesper Hanson & Frank De Jong, 2018. "Cross‐Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(7), pages 1401-1440, October.
    • Handle: RePEc:wly:jmoncb:v:50:y:2018:i:7:p:1401-1440
    DOI: 10.1111/jmcb.12510
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    3. Ferrara, Federico Maria, 2024. "Central bank asset purchases and auction cycles revisited: new evidence from the euro area," Working Paper Series 2927, European Central Bank.

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