Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/178621
Authors: 
Eidam, Frederik
Year of Publication: 
2018
Series/Report no.: 
ZEW Discussion Papers 18-025
Abstract: 
Do governments strategically choose debt maturity to fill supply gaps across maturities? Building on a new panel data set of more than 9,000 individual Eurozone government debt issues between 1999 and 2015, I find that governments increase long-term debt issues following periods of low aggregate Eurozone long-term debt issuance, and vice versa. This gap-filling behavior is more pronounced for (1) less financially constrained and (2) higher rated governments. Using the ECB's three-year LTRO in 2011-2012 as an event study, I find that core governments filled the supply gap of longer maturity debt, which resulted from peripheral governments accommodating banks' short-term debt demand for "carry trades". This gap-filling implies that governments act as macro-liquidity providers across maturities, thereby adding significant risk absorption capacity to government bond markets.
Subjects: 
Sovereign Debt
Maturity Structure
Market Segmentation
Central Bank Liquidity Provision
Long-Term Refinancing Operations
JEL: 
E58
E62
G11
H63
Document Type: 
Working Paper
Social Media Mentions:

Files in This Item:
File
Size
3.39 MB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.