2013
DOI: 10.2139/ssrn.2326945
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Price Effects of Sovereign Debt Auctions in the Euro-Zone: The Role of the Crisis

Abstract: Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in… Show more

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Cited by 19 publications
(56 citation statements)
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“…Lou, Yan, and Zhang (2013) find evidence for the United States that secondary market yields tend to increase in the run-up to an auction and fall back once the auction has taken place. Beetsma et al (2016) find similar auction cycles for Germany and Italy, with the cycle being more significant and larger for the latter country. For the five trading days before and after an auction of a particular maturity, we show the development of the average secondary market yields of the same maturity.…”
Section: An Event Study Of Auction Cyclesmentioning
confidence: 67%
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“…Lou, Yan, and Zhang (2013) find evidence for the United States that secondary market yields tend to increase in the run-up to an auction and fall back once the auction has taken place. Beetsma et al (2016) find similar auction cycles for Germany and Italy, with the cycle being more significant and larger for the latter country. For the five trading days before and after an auction of a particular maturity, we show the development of the average secondary market yields of the same maturity.…”
Section: An Event Study Of Auction Cyclesmentioning
confidence: 67%
“…Starting point for the development of our model is Ho and Stoll (1983), as worked out in De Jong and Rindi (2009, Ch. 2). Our model extends Beetsma et al (2016) into three directions: (i) we allow for primary dealers to hold debt from multiple countries; (ii) we distinguish between local and global primary dealers as investors in sovereign debt; and (iii) we make aggregate risk aversion a function of the size of the market. Local primary dealers trade only in debt issued in their own country, while global primary dealers trade in debt issued by all countries.…”
Section: A Model Of Auction Cycles and Cross-border Auction Spilloversmentioning
confidence: 99%
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