Outages in sovereign bond markets
with Caspar Helmus · R&R at the Journal of Financial Economics
· ECB Working Paper, 2024 (revised December 2025).
We exploit outages in sovereign bond markets as natural experiments. When the euro area futures
market goes down, trading volumes on the cash market decline, liquidity evaporates, and prices
deviate from fundamental values. Micro-level evidence reveals two mechanisms: the loss of a
hedging instrument reduces dealers’ intermediation capacity, and the missing benchmark
price widens information asymmetries for clients. Outages on the cash market, in contrast,
merely reduce futures trading activity, implying one-way price formation and liquidity
provision. Our findings highlight the trade-offs of market centralization, support cross-asset
learning over symmetric arbitrage models, and demonstrate how intermediaries impose limits to
arbitrage.
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Anatomy of a Safe Asset: Bund Market Structure and Reform
with Willy Scherrieble · Working paper, November 2026 · Earlier version:
Bundesbank
Discussion Paper No 36/2026.
This paper constructs a non-anonymous transaction-level dataset for German Bunds, the euro
area’s benchmark safe asset, from MiFID I and MiFID II transaction reports since 2008. We show
that a concentrated dealer core intermediates this safe asset through persistent dealer–client
relationships. Trading is segmented across investor sectors, with order flow fragmented across
bilateral OTC and electronic venues. Identified stress flows show foreign official accounts supplying
Bunds whether prices fall in a dash for cash or rise in a flight to quality. Hedge funds absorb Bunds
in both episodes, while primary dealers absorb Covid selling but distribute Bunds after fiscal supply
news. Hedge funds and official sector accounts carry the most permanent price-relevant flow yet pay
middling effective half-spreads, while retail households pay by far the highest. Execution costs do
not increase monotonically with the price content of flow. We evaluate two reforms targeting this
structure: mandatory central clearing would cut dealers’ net settlement obligations in Bunds by
35%, less than comparable estimates for U.S. Treasuries and U.K. Gilts. In the benchmark structural
calibration, platform centralization lowers welfare because matching gains from broader dealer access
do not offset lost relationship surplus under imperfect dealer competition.
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