The German Sub-National Government Bond Market: Evolution, Yields and Liquidity

36 Pages Posted: 8 Jun 2016

See all articles by Alexander Schulz

Alexander Schulz

Deutsche Bundesbank

Guntram B. Wolff

Deutsche Bundesbank; University of Bonn - Center for European Integration Studies (ZEI)

Date Written: 2008

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.

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

JEL Classification: G18, E43, G12, G10, H74, H63, E44

Suggested Citation

Schulz, Alexander and Wolff, Guntram B., The German Sub-National Government Bond Market: Evolution, Yields and Liquidity (2008). Bundesbank Series 1 Discussion Paper No. 2008,06. Available at SSRN: https://ssrn.com/abstract=2785185

Alexander Schulz (Contact Author)

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Guntram B. Wolff

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

University of Bonn - Center for European Integration Studies (ZEI) ( email )

Regina-Pacis-Weg 3
Postfach 2220
D-53012 Bonn
Germany

HOME PAGE: http://www.uni-bonn.de/~guntram

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