European Sovereign Debt Risk Management: the Role of a European Debt Agency

52 Pages Posted: 20 Apr 2022 Last revised: 9 Nov 2023

See all articles by Massimo Amato

Massimo Amato

Bocconi University - Department of Policy Analysis and Public Management

Everardo Belloni

Politecnico di Milano-Dipartimento Ingegneria Gestionale

Carlo A. Favero

Bocconi University - Department of Economics; Bocconi University - Department of Finance; Centre for Economic Policy Research (CEPR)

Lucio Gobbi

University of Trento - Department of Economics and Management; Università di Trento

Ludovica Priviero

Bocconi University

Multiple version iconThere are 2 versions of this paper

Date Written: April 8, 2022

Abstract

This paper analyses the potential of a European Debt Agency (EDA) as an efficient debt management institution for the Euro area. The simulation of prices and quantities that would have been observed in a scenario with an operational EDA illustrates that there have been fluctuations in bond prices that EDA would have been able to prevent.
Moreover, due to the less volatile price dynamics, EDA would have been capable to absorb the entire eurozone debt while reducing its size. This evidence speaks in favour of EDA as an institutional debt management tool for hedging Member States financing from market sentiment vagaries; creating a European Safe Asset; unburdening ECB from debt management and managing efficiently the implementation of fiscal rules.

Keywords: European Debt Agency, European Safe Assets, Debt Management.

JEL Classification: H12, H63, H81

Suggested Citation

Amato, Massimo and Belloni, Everardo and Favero, Carlo A. and Gobbi, Lucio and Priviero, Ludovica, European Sovereign Debt Risk Management: the Role of a European Debt Agency (April 8, 2022). Available at SSRN: https://ssrn.com/abstract=4079033 or http://dx.doi.org/10.2139/ssrn.4079033

Massimo Amato

Bocconi University - Department of Policy Analysis and Public Management ( email )

Via Roentgen 1
Milan, 20136
Italy

Everardo Belloni

Politecnico di Milano-Dipartimento Ingegneria Gestionale

Via Lambruschini 4C - building 26/A
Milano, 20156
Italy

Carlo A. Favero (Contact Author)

Bocconi University - Department of Economics ( email )

Via Gobbi 5
Milan, 20136
Italy

Bocconi University - Department of Finance ( email )

Via Roentgen 1
Milano, MI 20136
Italy

HOME PAGE: http://www.igier.unibocconi.it\favero

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Lucio Gobbi

University of Trento - Department of Economics and Management ( email )

Via Inama 5
Trento, I-38100
Italy

Università di Trento ( email )

via G. Verdi, 53
Trento, TN 38122
Italy

Ludovica Priviero

Bocconi University ( email )

Milano
Italy

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