The German sub-national government bond market: evolution, yields and liquidity
AbstractThe 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 InfoPaper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2008,06.
Date of creation: 2008
Date of revision:
sovereign bond market; yields; liquidity; fiscal federalism; Germany;
Find related papers by JEL classification:
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- H74 - Public Economics - - State and Local Government; Intergovernmental Relations - - - State and Local Borrowing
- H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-04-04 (All new papers)
- NEP-EEC-2008-04-04 (European Economics)
- NEP-MAC-2008-04-04 (Macroeconomics)
- NEP-PBE-2008-04-04 (Public Economics)
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- 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.
- Guntram B. Wolff & Alexander Schulz, 2008. "Sovereign bond market integration: the euro, trading platforms and globalisation," European Economy - Economic Papers 332, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
- 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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