Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/178621 
Autor:innen: 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
ZEW Discussion Papers No. 18-025
Verlag: 
Zentrum für Europäische Wirtschaftsforschung (ZEW), Mannheim
Zusammenfassung: 
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.
Schlagwörter: 
Sovereign Debt
Maturity Structure
Market Segmentation
Central Bank Liquidity Provision
Long-Term Refinancing Operations
JEL: 
E58
E62
G11
H63
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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