Bid-to-cover and yield changes around public debt auctions in the euro area
| Authors | |
|---|---|
| Publication date | 02-2018 |
| Journal | Journal of Banking & Finance |
| Volume | Issue number | 87 |
| Pages (from-to) | 118-134 |
| Organisations |
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| Abstract | Earlier research has shown that euro-area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple theoretical model of primary dealer behavior, in which the primary dealers receive a signal about the value of the asset auctioned. |
| Document type | Article |
| Note | With supplementary file |
| Language | English |
| Published at |
https://doi.org/10.1016/j.jbankfin.2017.10.006
(Final published version)
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| Permalink to this page | |
