Chosen Measures for Pricing of Liquidity

Ewa Dziwok ()
Additional contact information
Ewa Dziwok: University of Economics

A chapter in Contemporary Trends and Challenges in Finance, 2017, pp 3-9 from Springer

Abstract: Abstract The financial crisis of 2007–2009 showed that especially liquidity risk was underestimated or was not taken seriously into account. The existing liquidity measures proved to be inadequate or incorrectly used. This is why the alternative measures should be considered. The aim of the article is to examine the specific measures of liquidity using a sample of daily data. The particular attention will be paid to the yield curve fitting error, precisely to root mean squared error. The analysis covers the time series of errors calculated from daily WIBOR data and yield curve construction using two types of parametric models—Nelson-Siegel and Svensson one. By employing chosen liquidity measures into Polish financial market one can confirm their effectiveness in case of market disturbances.

Keywords: Monetary Policy; Central Bank; Term Structure; Liquidity Risk; Market Liquidity (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-319-54885-2_1

Ordering information: This item can be ordered from
http://www.springer.com/9783319548852

DOI: 10.1007/978-3-319-54885-2_1

Access Statistics for this chapter

More chapters in Springer Proceedings in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().