Demand Shocks for Public Debt in the Eurozone
利用德国和意大利国债期货的日内价格变化，识别公共债务需求的意外变动，发现正向需求冲击导致国债收益率大幅下降，并显著溢出到其他欧元区国家的国债、股票和公司债市场。
Abstract 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.