Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/175680 
Year of Publication: 
2017
Series/Report no.: 
ECB Working Paper No. 2056
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
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.
Subjects: 
public debt auctions
bid-to-cover ratios
primary and secondary markets
primary dealers
volatility
JEL: 
G11
G12
G14
G18
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-2778-9
Document Type: 
Working Paper

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