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The German sub-national government bond market: evolution, yields and liquidity

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  • Schulz, Alexander
  • Wolff, Guntram B.

Abstract

The paper presents a comprehensive data set of all bonds issued by the sixteen German states (L¨ander) since 1992. It thus provides a complete picture of a capital market comparable in size to funds raised in the German fixed income market for corporations. The quantitative analysis reveals that L¨ander follow different issuing strategies: while some concentrate to a greater extend on large issues or issue joint bonds with other L¨ander (Jumbos), others rely more on comparatively small but frequent issues. Moreover, some L¨ander issue a significant volume-share of their bonds in foreign currencies. Suitable bonds are used to compute yields for the respective L¨ander at a daily frequency. In addition, we construct a measure of liquidity based on the standard deviation of yields of those bonds that are used to compute the average yield. --

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Bibliographic Info

Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2008,06.

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Date of creation: 2008
Date of revision:
Handle: RePEc:zbw:bubdp1:7117

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Related research

Keywords: sovereign bond market; yields; liquidity; fiscal federalism; Germany;

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Cited by:
  1. Wolff, Guntram B. & Schulz, Alexander, 2008. "Sovereign bond market integration: the euro, trading platforms and globalization," Discussion Paper Series 1: Economic Studies 2008,12, Deutsche Bundesbank, Research Centre.
  2. Van Hecke, Annelore, 2013. "Vertical debt spillovers in EMU countries," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 468-492.

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