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
- Sprache
-
Englisch
- Erschienen in
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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
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Financial Stability
Government Bond Market
Liquidity Provision
Market Segmentation
- Ereignis
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Geistige Schöpfung
- (wer)
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Eidam, Frederik
- Ereignis
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Veröffentlichung
- (wer)
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European Systemic Risk Board (ESRB), European System of Financial Supervision
- (wo)
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Frankfurt a. M.
- (wann)
-
2020
- DOI
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doi:10.2849/116341
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Eidam, Frederik
- European Systemic Risk Board (ESRB), European System of Financial Supervision
Entstanden
- 2020