Unconventional Monetary Policy and Auction Cycles of Eurozone Sovereign Debt
研究发现欧洲央行的非常规货币政策能抑制欧元区主权债务二级市场在拍卖前后的收益率周期，市场波动越大效果越明显，低信用评级国家影响更大且会溢出到其他国家。
Abstract We provide evidence that the European Central Bank (ECB's) unconventional monetary policy dampens yield cycles in secondary markets for Eurozone sovereign debt around new sovereign debt auctions. This dampening effect tends to be larger when market volatility is higher. Cycles caused by domestic auctions and the role of market volatility are largest for countries with low credit ratings. Auctions by these countries also generate significant auction cycles in other countries. Such cycles can have a nonnegligible effect on debt‐servicing costs, but these can be limited through central bank purchases in turbulent periods, debt issuance in tranquil periods, and coordination of national auction calendars.