TY  - UNPD
A1  - Driessen, Joost
A1  - Nijman, Theodore E.
A1  - Simon, Zorka
T1  - Much ado about nothing : a study of differential pricing and liquidity of short and long term bonds
T2  - SAFE working paper series ; No. 238
N2  - 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.
T3  - SAFE working paper - 238 
KW  - Sovereign Bonds
KW  - Term Structure of Interest Rates
KW  - Segmentation
KW  - Liquidity
KW  - Flight-to-safety
KW  - Credit Risk
KW  - Unconventional Monetary Policy
Y1  - 2018
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/47983
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-479836
UR  - https://ssrn.com/abstract=3296959
IS  - November 2018
PB  - SAFE
CY  - Frankfurt am Main
ER  -