We investigate the determinants of primary market yields on Spanish sovereign debt, focusing in particular on the role of ESM lending. Using an innovative multi-stage model addressing endogenous factors with machine learning, we find that a positive shift in the risk-free yield curve and an increase in the CDS spread raise primary yields uniformly across the maturities on issue. Higher inflation raises medium- to long-term yields, while longer outstanding maturities raise short-term yields and

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