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Unconventional Monetary Policy and Auction Cycles of Eurozone Sovereign Debt
Journal of Money, Credit and Banking ( IF 1.963 ) Pub Date : 2021-04-04 , DOI: 10.1111/jmcb.12809
J.J.M. VAN SPRONSEN , R.M.W.J. BEETSMA 1
Affiliation  

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.

中文翻译:

非常规货币政策和欧元区主权债务拍卖周期

我们提供的证据表明,欧洲中央银行 (ECB) 的非常规货币政策抑制了围绕新主权债务拍卖的欧元区主权债务二级市场的收益率周期。当市场波动较大时,这种抑制作用往往会更大。国内拍卖引起的周期和市场波动的作用对于信用评级低的国家来说最大。这些国家的拍卖也在其他国家产生了重要的拍卖周期。这样的周期可能对偿债成本产生不可忽视的影响,但这些影响可以通过央行在动荡时期的购买、平静时期的债务发行以及国家拍卖日历的协调来限制。
更新日期:2021-04-04
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