Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19718
Authors: 
Schulz, Alexander
Wolff, Guntram B.
Year of Publication: 
2008
Series/Report no.: 
Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2008,06
Abstract: 
The paper presents a comprehensive data set of all bonds issued by the sixteen German states (L¨ander) since 1992. It thus provides a complete picture of a capital market comparable in size to funds raised in the German fixed income market for corporations. The quantitative analysis reveals that L¨ander follow different issuing strategies: while some concentrate to a greater extend on large issues or issue joint bonds with other L¨ander (Jumbos), others rely more on comparatively small but frequent issues. Moreover, some L¨ander issue a significant volume-share of their bonds in foreign currencies. Suitable bonds are used to compute yields for the respective L¨ander at a daily frequency. In addition, we construct a measure of liquidity based on the standard deviation of yields of those bonds that are used to compute the average yield.
Subjects: 
sovereign bond market
yields
liquidity
fiscal federalism
Germany
JEL: 
G18
E43
G12
G10
H74
H63
E44
Document Type: 
Working Paper

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