Risk Premia in Covered Bond Markets

Posted: 18 Jan 2012 Last revised: 2 Jan 2013

See all articles by Marcel Prokopczuk

Marcel Prokopczuk

Leibniz Universität Hannover - Faculty of Economics and Management; University of Reading - ICMA Centre

Volker Vonhoff

University of Mannheim - Department of Business Administration and Finance

Date Written: January 17, 2012

Abstract

In this paper, we empirically explore risk premia in mortgage covered bond markets. Using a large panel data set of covered bond asset swap spreads, we study the impact of different legal and economic environments. Conducting an in-depth analysis of this market, we find significant but small differences between countries during normal market periods. However, these differences are much stronger during times of economic crisis. Moreover, we find that developments in the real estate market are of relatively little importance during stable market periods. During economic distress, however, these have been of high importance for explaining risk premia in covered bond markets.

Keywords: covered bonds, bond risk premia, yield spreads

JEL Classification: G12, G15, G21

Suggested Citation

Prokopczuk, Marcel and Vonhoff, Volker, Risk Premia in Covered Bond Markets (January 17, 2012). Journal of Fixed Income, Vol. 22, No. 2, 2012. Available at SSRN: https://ssrn.com/abstract=1986743 or http://dx.doi.org/10.2139/ssrn.1986743

Marcel Prokopczuk (Contact Author)

Leibniz Universität Hannover - Faculty of Economics and Management ( email )

Koenigsworther Platz 1
Hannover, 30167
Germany

University of Reading - ICMA Centre ( email )

Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom

Volker Vonhoff

University of Mannheim - Department of Business Administration and Finance ( email )

Mannheim, 68131
Germany
+49 621 181-1518 (Phone)
+49 621 181-1519 (Fax)

HOME PAGE: http://finanzierung.bwl.uni-mannheim.de/de/faculty/alumni/vonhoff/

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