Gap-Filling Government Debt Maturity Choice

Eidam, Frederik

doi:10.2139/ssrn.3084052

Cited by 3 publications

(2 citation statements)

References 35 publications

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“…This behavior is also in line with studies that show how firms act as macro-liquidity providers across debt maturities by filling the supply gaps that can arise due to changes in the maturity structure of government debt (Greenwood et al, 2010;Eidam, 2018) and due to unconventional monetary policy shocks (Foley-Fisher et al, 2016). Descriptive evidence in Panel C in Figure 3 suggests that bond maturity grows over time, which is why we expect newly eligible firms to issue longer-maturity debt.…”

Section: Debt Maturitysupporting

confidence: 87%

Collateral Eligibility of Corporate Debt in the Eurosystem

et al. 2020

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We study how the Eurosystem Collateral Framework for corporate bonds helps the European Central Bank (ECB) fulfill its policy mandate. Using the ECBs eligibility list, we identify the first inclusion date of both bonds and issuers. We find that due to the increased supply and demand for pledgeable collateral following eligibility, (i) securities lending market trading activity increases, (ii) eligible bonds have lower yields, and (iii) the liquidity of newly-issued bonds declines, whereas the liquidity of older bonds is una↵ected/improves. Corporate bond lending relaxes the constraint of limited collateral supply, thereby making the market more cohesive and complete. Following eligibility, bond-issuing firms reduce bank debt and expand corporate bond issuance, thus increasing overall debt size and extending maturity.

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Section: Debt Maturitysupporting

confidence: 87%

Collateral Eligibility of Corporate Debt in the Eurosystem

et al. 2020

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“…2 The IMF is revising its debt sustainability analysis for countries with market access after its failure to predict the euro area crisis. 3 For analyses of euro area public bond markets not considering market access risks see Eidam (2017) or .…”

Section: Introductionmentioning

confidence: 99%

Quantifying Risks to Soverign Market Access: Methods and Challenges

Žigraiová

Erce²,

Jiang³

2020

gwp

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In this paper we use data from the euro area to study episodes when sovereigns lose market access. We construct a detailed dataset with potential indicators of market access tensions, and evaluate their ability to forecast episodes when market access is lost, using various econometric approaches. We find that factors associated with high market access tensions are not limited to financial markets, but also encompass developments in global demand, macroeconomic conditions and the fiscal stance. Using the top-performing indicators, we construct a number of market tension indices and use them as single predictors of market access tensions. While such indices are helpful in capturing worsening conditions, they do not yield satisfactory out-of-sample results. On the other hand, using the same top-performing indicators in various multivariate models generates good forecasts of upcoming difficulties in accessing sovereign bond markets. Our results thus point to a trade-off between communicability and accuracy that policymakers face in the search for tools to evaluate risks to market access.

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Autonomous agencies and relational contracts in government bond issues

Sadeh

Porath²

2019

Regulation & Governance

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In this article, we examine how national Debt Management Offices (DMOs) in developed countries handle governments' relational contracts with lenders, which are characterized by potentially important information asymmetries. In response to privileged information, the DMO can adjust the maturity of the auctioned debt perfunctorilysignaling defection from the win-win spirit of the contractor consummatelysignaling the government's cooperative attitude, and earning the trust of the lenders. We argue that politically autonomous DMOs have more credibility with lenders and can afford less consummate signals. Depending on the electoral cycle and party age, cabinets can press moderately autonomous DMOs to send less consummate signals, but will be less successful with non-autonomous DMOs, because of their low credibility. We run fixed effects regressions on a unique dataset based on more than 27,500 issues of government debt in 31 mainly Organisation for Economic Cooperation and Development countries during 2004-2012, and a unique compilation of legal texts defining the authority of DMOs.

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Gap-Filling Government Debt Maturity Choice

Cited by 3 publications

References 35 publications

Collateral Eligibility of Corporate Debt in the Eurosystem

Collateral Eligibility of Corporate Debt in the Eurosystem

Quantifying Risks to Soverign Market Access: Methods and Challenges

Autonomous agencies and relational contracts in government bond issues

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