Arbeitspapier
Euro area sovereign yield dynamics: the role of order imbalance
We study sovereign yield dynamics and order flow in the largest euro-area treasury markets. We exploit unique transaction data to explain daily yield changes in the ten-year government bonds of Italy, France, Belgium, and Germany. We use a state space model to decompose these changes into (i) a “benchmark” yield innovation, (ii) a yield spread common factor innovation, (iii) country-specific innovations, and (iv) (transitory) noise. We relate changes in each of these factors to national order imbalance and find that Italian order imbalance impacts the common factor innovation, French and Belgian order imbalance impact country-specific innovations, and German order imbalance only changes yields temporarily. Order imbalance, however, does not have explanatory power for the most important factor: benchmark yield innovations.
- Language
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Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 385
- Classification
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Wirtschaft
General Financial Markets: General (includes Measurement and Data)
International Financial Markets
General Financial Markets: Government Policy and Regulation
- Subject
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euro
Government bond
international
order imbalance
- Event
-
Geistige Schöpfung
- (who)
-
Menkveld, Albert J.
Cheung, Yiu Chung
de Jong, Frank
- Event
-
Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
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Frankfurt a. M.
- (when)
-
2004
- Handle
- Last update
-
10.03.2025, 11:43 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
- Menkveld, Albert J.
- Cheung, Yiu Chung
- de Jong, Frank
- European Central Bank (ECB)
Time of origin
- 2004
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