Estimating Liquidity Premia in the Spanish Government Securities Market

Francisco Alonso, Roberto Blanco, Ana Del Rio and Alicia Sanchis
Additional contact information
Francisco Alonso: Banco de España
Alicia Sanchis: Banco de España

No 17, Working Papers from Banco de España

Abstract: This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish government securities market. First, we propose a classification of bonds into four different categories based on their degree of liquidity. Second, we estimate liquidity premia, including liquidity parameters in the estimation of the zero-coupon yield curve. The results suggest the existence of a liquidity premium for post-benchmark bonds (both strippable and non-strippable).

Keywords: liquidity; pricing; bonds (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... o/00/Fic/dt0017e.pdf First version, 2000 (application/pdf)

Related works:
Journal Article: Estimating liquidity premia in the Spanish government securities market (2004)
Chapter: Estimating liquidity premia in the Spanish Government securities market (2001)
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:bde:wpaper:0017

Access Statistics for this paper

More papers in Working Papers from Banco de España Contact information at EDIRC.
Bibliographic data for series maintained by Ángel Rodríguez. Electronic Dissemination of Information Unit. Research Department. Banco de España ().