Much ado about nothing : a study of differential pricing and liquidity of short and long term bonds
- Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory effects, or default, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we study the differential pricing and liquidity of short and long maturity bonds. We find statistically significant, but economically negligible segmentation in yields and some degree of liquidity segmentation of short-term versus long-term bonds. These results have important policy implications for the e17.5 trillion European pension and insurance industries: long maturity bond yields seem appropriate for the valuation of long-term liabilities.
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| Author: | Joost Driessen, Theodore E. Nijman, Zorka SimonORCiD |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-479836 |
| URL: | https://ssrn.com/abstract=3296959 |
| Parent Title (English): | SAFE working paper series ; No. 238 |
| Series (Serial Number): | SAFE working paper (238) |
| Publisher: | SAFE |
| Place of publication: | Frankfurt am Main |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2018 |
| Year of first Publication: | 2018 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2018/12/11 |
| Tag: | Credit Risk; Flight-to-safety; Liquidity; Segmentation; Sovereign Bonds; Term Structure of Interest Rates; Unconventional Monetary Policy |
| Issue: | November 2018 |
| Page Number: | 63 |
| HeBIS-PPN: | 441100066 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF) | |
| Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
| Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE) | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
