Price effects of sovereign debt auctions in the euro-zone: The role of the crisis

AFME, 2013, European Primary Dealers Handbook, London/Brussels. <http://www.afme.eu>. Arslanalp, S., Tsuda, T., 2012.Tracking Global Demand for Advanced Economy Sovereign Debt, IMF Working Paper, No. WP/12/284. <http://www.imf.org/external/pubs/ft/wp/2012/Data/wp12284.zip>. Back, 2001, Auctions of divisible goods with endogenous supply, Econ. Lett., 73, 29, 10.1016/S0165-1765(01)00465-7 Corradin, S., Maddaloni, A., 2013. The Importance of Being Special: Repo Markets During the Crisis, mimeo, ECB. Damianov, 1996, Uniform vs. discriminatory auctions with variable supply – experimental evidence, Games Econ. Behav., 68, 60, 10.1016/j.geb.2009.06.008 d’Amico, 2013, Flow and Stock Effects of Large-Scale Treasury Purchases: Evidence on the Importance of Local Supply, J. Financ. Econ., 108, 425, 10.1016/j.jfineco.2012.11.007 De Santis, 2014, The euro area sovereign debt crisis: identifying flight-to-liquidity and the spillover mechanisms, J. Empirical Finance, 26, 150, 10.1016/j.jempfin.2013.12.003 Duffie, 1996, Special repo rates, J. Finance, 51, 493, 10.1111/j.1540-6261.1996.tb02692.x Eser, F., Schwaab, B., 2013. Assessing Asset Purchases within the ECB’s Securities Markets Programme, ECB Working Paper, No. 1587. Fleming, M.J., Remolona, E.M., 1997. What moves the bond market? Federal Reserve Bank of New York Economic Policy Review (December), pp. 31–50. Fleming, M.J., Rosenberg, J.V., 2007. How Do Treasury Dealers Manage their Positions? Federal Reserve Bank of New York Staff Reports, No. 299. Forest, 2007 Goldreich, 2007, Underpricing in discriminatory and uniform-price treasury auctions, J. Financ. Quant. Anal., 42, 443, 10.1017/S0022109000003343 Hansch, 1998, Do inventories matter in dealership markets? Evidence from the London stock exchange, J. Finance, 53, 1623, 10.1111/0022-1082.00067 Hendershott, 2014, Price Pressures, J. Financ. Econ., 114, 405, 10.1016/j.jfineco.2014.08.001 Ho, 1983, The dynamics of dealer markets under competition, J. Finance, 38, 1053, 10.1111/j.1540-6261.1983.tb02282.x Italian Treasury, 2014. <http://www.dt.tesoro.it/export/sites/sitodt/modules/documenti_en/debito_pubblico/normativa_spalla_destra/Methods_of_conducting_auctions_.pdf>. Jordan, 1997, Special repo rates: an empirical analysis, J. Finance, 52, 2051, 10.1111/j.1540-6261.1997.tb02750.x Joyce, 2011, The financial market impact of quantitative easing in the United Kingdom, Int. J. Central Bank., 7, 113 Keane, 1996, Repo rate patterns for new treasury notes, Curr. Issues Econ. Finance, 2, 1 Krishnamurthy, 2002, The bond/old bond spread, J. Financ. Econ., 66, 463, 10.1016/S0304-405X(02)00207-6 Krishnamurthy, A., Vissing-Jorgensen, A., 2011. The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy, Brookings Papers on Economic Activity, Fall. Krishnamurthy, 2012, The aggregate demand for treasury debt, J. Polit. Econ., 120, 233, 10.1086/666526 Lou, 2013, Anticipated and repeated shocks in liquid markets, Rev. Financ. Stud., 26, 1891, 10.1093/rfs/hht034 Nyborg, 1996, Discriminatory versus uniform treasury auctions: evidence from when-issued transactions, J. Financ. Econ., 42, 63, 10.1016/0304-405X(95)00871-B Simon, 1994, Markups, treasury coupon auctions, J. Financ. Econ., 35, 43, 10.1016/0304-405X(94)90017-5 Sundaresan, 1994, An empirical analysis of U.S. treasury auctions: implications for auction and term structure theories, J. Fixed Income, 4, 35, 10.3905/jfi.1994.408109 U.S. Treasury, 2014. <http://www.treasurydirect.gov/instit/auctfund/work/work.htm>. Pelizzon, 2013