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

Alexander Schulz and Guntram Wolff

No 2008,06, Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank, Research Centre

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 (search for similar items in EconPapers)
JEL-codes: G18 E43 G12 G10 H74 H63 E44 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-mac and nep-pbe
Date: 2008
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Persistent link: http://EconPapers.repec.org/RePEc:zbw:bubdp1:7117

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