Italian Government debt liquidity, is it of value?
Simona Delle Chiaie () and
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Simona Delle Chiaie: Banque de France
No 2014/3, DSS Empirical Economics and Econometrics Working Papers Series from Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome
In this paper we analyze the yield difference between two on- and off-the-run similar notes to gauge the liquidity premium. We investigate this issue by relating such a differential to several liquidity indicators that we build and examine -to our knowledge for the first time- throughout the entire life of the Italian Government securities. We provide evidence on the differences between the US and the Italian security markets, calculate accurately the joint and the total probability for liquidity shocks and provide a methodology to cope with the resilience of a liquidity shock and its implications in terms of issuance policies
Keywords: Treasury bonds market; liquidity; on/off-the-run cycle; liquidity shock probability; resilience. (search for similar items in EconPapers)
JEL-codes: G12 E44 (search for similar items in EconPapers)
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http://www.dss.uniroma1.it/RePec/sas/wpaper/20143_mdc.pdf First version, 2014 (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:sas:wpaper:20143
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