In this paper we use high-frequency (intraday) government bond futures price changes around German and Italian Treasury auctions to identify unexpected shifts in the demand for public debt. Estimates show that positive demand shocks lead to large and persistent negative movements in Treasury yields. There is also evidence of significant spillover e↵ects into Treasury bond, equity and corporate bond markets of other euro area countries. We find interesting di↵erences in the e↵ects of demands shocks between the two countries, which are consistent with the "safe-haven" status of German bonds versus the "high-debt" status of Italian Treasuries. Results also suggest that these e↵ects are stronger during periods of high financial stress.
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