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Sovereign bond auctions in the euro areaHanson, J.
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Citation for published version (APA):Hanson, J. (2018). Sovereign bond auctions in the euro area
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Download date: 25 Feb 2019
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Summary
This dissertation studies sovereign bond auctions in the euro area. Euro
area governments use sovereign bond auctions to refinance the
outstanding stock of debt and to finance budget deficits. During the recent
financial and sovereign debt crisis, high sovereign yields and high budget
deficits resulted in a challenging funding environment for governments.
Auction outcomes were closely scrutinized, and the success or failure of
auctions could be market moving events. It is therefore important to study
the determinants of successful sovereign bond auctions and their domestic
and cross-border effects.
In Chapter 2 we study cross-border spillovers of sovereign bond
auctions. Participation to sovereign bond auctions is limited to a selected
group of financial institutions. These primary dealers take large volumes
of sovereign debt on their books around auctions. We develop a model
where primary dealers have limited risk-bearing capacity and want to be
compensated for the concentration of bonds on their books. This results in
a peak in sovereign bond yields around auctions. This auction cycle is
larger when markets are volatile. When primary dealers are active across
borders and foreign bonds are regarded as close substitutes to domestic
bonds, domestic auctions cause an auction cycle in foreign yields.
Consistent with the model, we find evidence for domestic and cross-
border auction cycles. Domestic cycles are stronger in the crisis period,
while cross-border cycles are stronger in the pre-crisis period, which is
likely the result of retrenching financial integration during the crisis. The
finding of cross-border auction cycles suggest that it is costly if
governments hold auctions at the same date.
220
Chapter 3 analyzes the effects of the success or failure of an
auction. We measure the success of an auction with the bid-to-cover ratio.
This is a measure of the total amount of bids placed during the auction,
divided by the issuance volume. A high volume of bids relative to supply
indicates a successful auction. We find that a successful auction results in
a reduction in secondary market yields following the auction. This effect
is stronger in a volatile market environment. These results are in line with
a model where primary dealers receive signals about the value of the
auctioned bond. Such signals may for example come from investors who
place orders with primary dealers prior to the auction. This finding
suggests that it could be costly if governments set ambitious funding
targets when markets are volatile, because the costs associated with a
failed auction are relatively high.
Chapter 4 focuses on the debt management strategy of euro area
governments. We explore the drivers of the maturity of newly issued debt.
We develop a model where investors have a preference for short-term
debt, due to price risk of long-term debt and their preference for liquid
debt. The government faces a trade-off between lower funding costs for
issuance of short-term debt, and lower roll-over risk for long-term debt.
We find that the average maturity of newly issued debt is negatively
related the spread between long- and short-term yields and to the level of
yields. Our analysis of drivers of the maturity choice of governments
suggests a role for liquidity preference of investors.
In Chapter 5 we study the determinants of the success of
sovereign bond auctions, as measured by the bid-to-cover ratio. We find
that an environment of high secondary market yields and low secondary
market volatility is associated with more successful auctions. We provide
some evidence of flight-to-safety effects during the crisis. We also show a
positive relationship between the outcome of the current auction and the
221
success of the previous domestic auction, and we find positive spillovers
from the success of foreign auctions to domestic auctions
Taken together, the results in this dissertation suggest an interplay
between sovereign debt auctions and domestic and foreign secondary
market yields. This interplay depends on the success of the auctions, the
level of secondary market yields and on market volatility. The analysis
and results in this dissertation suggest a number of avenues for further
research. First, the spillovers around sovereign debt auctions could be
explored further, for example by investigating spillovers from U.S.
Treasury auctions on sovereign bond yields in the Eurozone. Second, the
interaction between monetary policy and sovereign bond auctions
deserves further attention. A relevant question is the relation between
ECB purchases of sovereign bonds and the maturity of newly issued debt.
Another question is the effect of these purchases on the size of the auction
cycle.
222
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Dutch summary
Deze dissertatie onderzoekt veilingen van overheidsobligaties in de
Eurozone. Overheden in de Eurozone gebruiken veilingen om
overheidsschuld te herfinancieren en om begrotingstekorten te
financieren. Tijdens de financiële crisis leidden hoge rentes en hoge
tekorten tot een uitdagende financieringsomgeving voor overheden.
Uitkomsten van veilingen werden nauwgezet gevolgd, en het succes of het
falen van een veiling kon markten sterk beïnvloeden. Tegen deze
achtergrond is het belangrijk om de kenmerken van succesvolle veilingen
te bestuderen, en om te analyseren wat de binnenlandse en
grensoverschrijdende effecten van veilingen zijn.
In Hoofdstuk 2 bestuderen we grensoverschrijdende spillover-
effecten van overheidsveilingen. Deelname aan veilingen is beperkt tot
een kleine groep financiële instellingen. Deze primary dealers nemen
rondom veilingen grote hoeveelheden overheidsobligaties op hun boeken.
Wij ontwikkelen een model waarin het risicodragend vermogen van
primary dealers beperkt is. Zij willen daarom gecompenseerd worden
voor de concentratie van obligaties op hun balans. Dit resulteert in een
piek in de rente op overheidsobligaties rondom veilingen. Deze aucion
cycle is groter in geval van marktvolatiliteit. Wanneer primary dealers
grensoverschrijdend actief zijn en buitenlandse obligaties gezien worden
als substituut voor binnenlandse obligaties, voorspelt ons model dat
binnenlandse veilingen tot een auction cycle in buitenlandse rentes leiden.
In lijn met de uitkomsten van het model vinden we empirisch bewijs voor
binnenlandse en grensoverschrijdende auction cycles. Binnenlandse cycles
zijn groter tijdens de financiële crisis, terwijl grensoverschrijdende cycles
groter zijn in de periode voor de crisis. Dit is waarschijnlijk het gevolg
232
van afnemende financiële integratie tijdens de crisis. Ons resultaat dat
auction cycles grensoverschrijdend zijn, suggereert dat het duur is als
verschillende overheden op dezelfde dag een veiling houden. De piek in
de rente rondom de veiling in het ene land heeft immers een effect op de
financieringskosten van de overheid in het andere land, en vice versa.
Hoofdstuk 3 analyseert het effect van het succes of het
mislukken van een veiling. We gebruiken de bid-to-cover ratio om het
succes van een veiling te meten. Dit is een maatstaf van de hoeveelheid
biedingen tijdens de veiling gedeeld door het uitgiftevolume. Wanneer de
hoeveelheid biedingen hoog is in verhouding tot het uitgiftevolume, is
sprake van een succesvolle veiling. Wij vinden dat een succesvolle veiling
gepaard gaat met een daling in rentes op secundaire markten na afloop van
de veiling. Dit effect is sterker wanneer markten volatiel zijn. Deze
resultaten zijn in lijn met een model waarin primary dealers voorafgaand
aan de veiling signalen ontvangen over de waarde van de geveilde
obligatie. Zulke signalen kunnen bijvoorbeeld afkomstig zijn van
investeerders die orders plaatsen bij primary dealers voorafgaand aan een
veiling. De resultaten in dit hoofdstuk suggereren dat het duur kan zijn
wanneer overheden ambitieuze financieringsdoelen stellen voor veilingen
die plaatsvinden in een volatiele marktomgeving, omdat de kosten van een
mislukte veiling dan relatief hoog zijn.
Hoofdstuk 4 richt zich op de financieringsstrategie van overheden
in de Eurozone. We onderzoeken de factoren die de looptijd van nieuwe
schuld bepalen. We ontwikkelen een model waarin investeerders een
voorkeur hebben voor schuld met een korte looptijd vanwege het
prijsrisico van obligaties met een lange looptijd, en vanwege hun voorkeur
voor liquide obligaties. De overheid moet een afweging maken tussen
lagere financieringskosten bij uitgifte van obligaties met een korte
looptijd, en een lager herfinancieringsrisico bij uitgifte van obligaties met
233
een lange looptijd. Uit onze resultaten volgt dat de gemiddelde looptijd
van nieuwe obligaties een negatief verband heeft met de spread tussen de
rente op obligaties met een lange en korte looptijd, en met het renteniveau.
Onze analyse van de onderliggende factoren suggereert een rol voor een
voorkeur van investeerders voor liquide obligaties.
In hoofdstuk 5 bestuderen we welke factoren bepalend zijn voor
het succes van veilingen van overheidsobligaties. We gebruiken de bid-to-
cover ratio om het succes van een veiling te meten. We vinden dat
veilingen gemiddeld genomen meer succesvol zijn in een omgeving van
lage rentes en lage volatiliteit op secundaire markten. We vinden ook enig
bewijs voor flight-to-safety effecten tijdens de crisis. Daarnaast laten we
een positief verband zien tussen de uitkomst van de huidige veiling en het
succes van de vorige binnenlandse veiling, en we vinden positieve
spillover-effecten van het succes van buitenlandse veilingen naar
binnenlandse veilingen.
De resultaten in deze dissertatie laten een wisselwerking zien
tussen veilingen van overheidsobligaties en rentes op binnenlandse en
buitenlandse secundaire markten. Deze wisselwerking is afhankelijk van
het succes van de veiling, het niveau van de rentes op secundaire markten
en van marktvolatiliteit. De analyse en resultaten in deze dissertatie
suggereren een aantal mogelijke onderwerpen voor vervolgonderzoek.
Ten eerste zouden de spillover-effecten rondom veilingen van
overheidsobligaties verder kunnen worden onderzocht, bijvoorbeeld door
spillover-effecten van veilingen door de Amerikaanse Treasury op rentes
in de Eurozone te analyseren. Ten tweede is de interactie tussen monetair
beleid en veilingen van overheidsobligaties een interessant thema voor
vervolgonderzoek. Een relevant onderwerp is het verband tussen het
opkoopprogramma van overheidsobligaties door de ECB en de looptijd
van nieuwe obligatie-uitgiftes door overheden. Ook zou gekeken kunnen