Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/189640
Authors: 
Driessen, Joost
Nijman, Theodore E.
Simon, Zorka
Year of Publication: 
2018
Series/Report no.: 
SAFE Working Paper No. 238
Abstract: 
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.
Subjects: 
Sovereign Bonds
Term Structure of Interest Rates
Segmentation
Liquidity
Flight-to-safety
Credit Risk
Unconventional Monetary Policy
JEL: 
G01
G12
G15
G18
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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