Cross‐Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area
研究了欧元区外国公共债务拍卖对国内二级市场拍卖周期的溢出效应，并发现危机期间国内拍卖周期效应更强，而跨境效应在危机前更强，但证据不充分。
Abstract We provide evidence for the euro area of spillovers from foreign public debt auctions into domestic secondary‐market auction cycles. We also confirm existing evidence of such spillovers from domestic issues into the domestic secondary market. Consistent with a theory of primary dealers’ limited risk‐bearing capacity, we find that auction cycles from domestic issues are stronger during the recent crisis period, whereas cross‐border effects are stronger in the precrisis period, but this evidence is not strong. This finding likely reflects the opposing effects of reduced sovereign bond market integration during the crisis and higher yield covariances caused by more market volatility.