Macroannouncements, bond auctions and rating actions in the European government bond spreads
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 impa...
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| Published in | Journal of international money and finance Vol. 53; pp. 148 - 173 |
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| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Kidlington
Elsevier Ltd
01.05.2015
Elsevier Science Ltd |
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| Abstract | 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. |
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| AbstractList | 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. 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. |
| Author | Boffelli, Simona Urga, Giovanni |
| Author_xml | – sequence: 1 givenname: Simona surname: Boffelli fullname: Boffelli, Simona organization: Bergamo University, Italy – sequence: 2 givenname: Giovanni surname: Urga fullname: Urga, Giovanni email: G.Urga@city.ac.uk organization: Bergamo University, Italy |
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| CitedBy_id | crossref_primary_10_1016_j_jimonfin_2021_102473 crossref_primary_10_5547_01956574_40_1_lmen crossref_primary_10_1016_j_jempfin_2019_01_004 crossref_primary_10_1080_1351847X_2017_1285797 crossref_primary_10_3390_e25040630 crossref_primary_10_1080_07350015_2023_2271039 crossref_primary_10_2139_ssrn_4558472 crossref_primary_10_1016_j_eneco_2019_03_020 crossref_primary_10_22495_cocv13i3c2p9 |
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| SubjectTerms | 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 |
| Title | Macroannouncements, bond auctions and rating actions in the European government bond spreads |
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