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dc.contributor.authorSchuster, Philippen_US
dc.contributor.authorUhrig-Homburg, Marlieseen_US
dc.date.accessioned2012-11-28en_US
dc.date.accessioned2012-11-29T13:06:22Z-
dc.date.available2012-11-29T13:06:22Z-
dc.date.issued2012en_US
dc.identifier.piurn:nbn:de:swb:90-309642-
dc.identifier.urihttp://hdl.handle.net/10419/67053-
dc.description.abstractWe analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity premiums are higher with the largest increase for short-term maturities. Moreover, their reaction to changes in fundamentals is only significant during crises: premiums of all maturities depend on inventory risk, short maturities are highly sensitive to liquidity preferences (flight-to-liquidity). Therefore, calibrating risk management models in normal times underestimates illiquidity risk and misjudges term structure effects.en_US
dc.language.isoengen_US
dc.publisherKIT Karlsruheen_US
dc.relation.ispartofseriesWorking Paper Series in Economics, Karlsruher Institut für Technologie (KIT) 45en_US
dc.subject.jelG01en_US
dc.subject.jelG11en_US
dc.subject.jelG12en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordbond liquidityen_US
dc.subject.keywordterm structure of illiquidity premiumsen_US
dc.subject.keywordregime-switchingen_US
dc.subject.keywordfinancial crisisen_US
dc.subject.keywordflight-to-liquidityen_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwRentenmarkten_US
dc.subject.stwMarktliquiditäten_US
dc.subject.stwLiquiditätspräferenzen_US
dc.subject.stwFinanzmarktkriseen_US
dc.subject.stwTheorieen_US
dc.subject.stwSchätzungen_US
dc.subject.stwÖffentliche Anleiheen_US
dc.subject.stwDeutschlanden_US
dc.titleThe term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bondsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn730575373en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:kitwps:45-
Appears in Collections:Working Paper Series in Economics, Karlsruher Institut für Technologie (KIT)

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