Demand Shocks for Public Debt in the Eurozone

Autor:	ANDRAS LENGYEL, MASSIMO GIULIODORI
Přispěvatelé:	Macro & International Economics (ASE, FEB), Faculteit Economie en Bedrijfskunde
Jazyk:	angličtina
Rok vydání:	2022
Předmět:	Economics and Econometrics Accounting Finance
Zdroj:	Journal of Money, Credit and Banking, 54(7), 1997-2028. Wiley-Blackwell
ISSN:	0022-2879
DOI:	10.1111/jmcb.12891
Popis:	In this paper we use 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 negative movements in Treasury yields. Evidence shows significant spillover effects into Treasury bond, equity, and corporate bond markets of other eurozone countries. We find interesting differences in the effects of demand shocks between the two countries, consistent with the “safe-haven” status of German bonds versus the “high-debt” status of Italian Treasuries. Results suggest that these effects are stronger during periods of high financial stress.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::be72e28b45bc7d9d596ee230c58432fe https://doi.org/10.1111/jmcb.12891 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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