The German Sub-National Government Bond Market: Evolution, Yields and Liquidity
36 Pages Posted: 8 Jun 2016
Date Written: 2008
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
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