Unconventional Monetary Policy and Auction Cycles of Eurozone Sovereign Debt

Josha Van Spronsen, Roel Beetsma*

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review


We provide evidence that the European Central Bank (ECB's) unconventional monetary policy dampens yield cycles in secondary markets for Eurozone sovereign debt around new sovereign debt auctions. This dampening effect tends to be larger when market volatility is higher. Cycles caused by domestic auctions and the role of market volatility are largest for countries with low credit ratings. Auctions by these countries also generate significant auction cycles in other countries. Such cycles can have a nonnegligible effect on debt‐servicing costs, but these can be limited through central bank purchases in turbulent periods, debt issuance in tranquil periods, and coordination of national auction calendars.
Original languageEnglish
JournalJournal of Money, Credit and Banking
Issue number1
Pages (from-to)169-202
Number of pages34
Publication statusPublished - Feb 2022

Bibliographical note

Published online: 04 April 2021.


  • Auction cycles
  • Sovereign debt
  • Asset purchase programs
  • Primary market
  • Secondary market
  • Market volatility

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