Arbeitspapier
Gap-filling government debt maturity choice
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.
- ISBN
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978-92-9472-172-3
- Language
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Englisch
- Bibliographic citation
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Series: ESRB Working Paper Series ; No. 110
- Classification
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Wirtschaft
Central Banks and Their Policies
Fiscal Policy
Portfolio Choice; Investment Decisions
National Debt; Debt Management; Sovereign Debt
- Subject
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Financial Stability
Government Bond Market
Liquidity Provision
Market Segmentation
- Event
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Geistige Schöpfung
- (who)
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Eidam, Frederik
- Event
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Veröffentlichung
- (who)
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European Systemic Risk Board (ESRB), European System of Financial Supervision
- (where)
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Frankfurt a. M.
- (when)
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2020
- DOI
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doi:10.2849/116341
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Eidam, Frederik
- European Systemic Risk Board (ESRB), European System of Financial Supervision
Time of origin
- 2020