Macroannouncements, bond auctions and rating actions in the European government bond spreads

• Published in: Journal of international money and finance Vol. 53; pp. 148 - 173
• Main Authors: Boffelli, Simona, Urga, Giovanni
• Format: Journal Article
• Language: English
• Published: Kidlington Elsevier Ltd 01.05.2015; Elsevier Science Ltd
• Subjects: Auctions; Bond market; Bond ratings; Cojumps; Economic theory; France; Germany; Government; Government bond auctions; Government bond spreads; Government bonds; Impact analysis; Jumps; Macroannouncements; News; Public sector; Rating actions; Spain; Spread; Studies; Western Europe; Europe; Cojumps; Rating actions; H63; C12; Government bond auctions; C58; Government bond spreads; Macroannouncements; G24; Jumps
• ISSN: 0261-5606; 1873-0639
• DOI: 10.1016/j.jimonfin.2015.01.004

This paper investigates the impact of macroannouncements, government bond auctions and rating actions on the 10-year government bond spreads for Belgium, France, Italy, the Netherlands, Spain with respect to Germany. Using a unique tick-by-tick dataset over 1/02/2009–05/31/2012, we identify the impact of the three drivers via jump and cojump detection procedures. Disentangling the pre-from the post-announcement effects, real economy and forward looking news releases from US and Euro area, country specific Spanish and German macroannouncements, and auctions hold in distressed countries such Italy and Spain have a statistically and economically significant effect. No role is played by rating actions. •We investigate the impact of market movers on European government bond spreads.•We evaluate both pre- and post- announcement effects.•Real economy and forward looking news releases from US and Euro area play a role.•Government bond auctions in distressed countries are relevant.•No role is played by rating actions.