| Authors |
|
| Publication date |
02-2018
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| Journal |
Journal of Banking & Finance
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| Volume | Issue number |
87
|
| Pages (from-to) |
118-134
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| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam Business School Research Institute (ABS-RI)
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Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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Faculty of Economics and Business (FEB)
|
| 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.
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| Document type |
Article
|
| Note |
With supplementary file
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| Language |
English
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| Published at |
https://doi.org/10.1016/j.jbankfin.2017.10.006
|
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