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
978-92-9472-172-3
Sprache
Englisch

Erschienen in
Series: ESRB Working Paper Series ; No. 110

Klassifikation
Wirtschaft
Central Banks and Their Policies
Fiscal Policy
Portfolio Choice; Investment Decisions
National Debt; Debt Management; Sovereign Debt
Thema
Financial Stability
Government Bond Market
Liquidity Provision
Market Segmentation

Ereignis
Geistige Schöpfung
(wer)
Eidam, Frederik
Ereignis
Veröffentlichung
(wer)
European Systemic Risk Board (ESRB), European System of Financial Supervision
(wo)
Frankfurt a. M.
(wann)
2020

DOI
doi:10.2849/116341
Handle
Letzte Aktualisierung
10.03.2025, 11:41 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Eidam, Frederik
  • European Systemic Risk Board (ESRB), European System of Financial Supervision

Entstanden

  • 2020

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