Demand shocks for public debt in the Eurozone

Andras Lengyel and Massimo Giuliodoril

Working Papers from DNB

Abstract: In this paper we use high-frequency (intraday) government bond futures price changes around German and Italian Treasury auctions to identify unexpected shifts in the demand for public debt. Estimates show that positive demand shocks lead to large and persistent negative movements in Treasury yields. There is also evidence of significant spillover effects into Treasury bond, equity and corporate bond markets of other euro area countries. We find interesting differences in the effects of demands shocks between the two countries, which are consistent with the œsafe-haven status of German bonds versus the œhigh-debt status of Italian Treasuries. Results also suggest that these effects are stronger during periods of high financial stress.

Keywords: Sovereign bonds; Primary market; High-frequency identification; Yield curve (search for similar items in EconPapers)
JEL-codes: E43 F4 G15 (search for similar items in EconPapers)
Date: 2020-03
New Economics Papers: this item is included in nep-eec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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https://www.dnb.nl/media/g5slxapq/working-paper-no-674_tcm47.pdf

Related works:
Journal Article: Demand Shocks for Public Debt in the Eurozone (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:dnb:dnbwpp:674

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