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dc.contributor.authorSchuster, Philippen
dc.contributor.authorUhrig-Homburg, Marlieseen
dc.date.accessioned2012-11-28-
dc.date.accessioned2012-11-29T13:06:22Z-
dc.date.available2012-11-29T13:06:22Z-
dc.date.issued2012-
dc.identifier.piurn:nbn:de:swb:90-309642en
dc.identifier.pidoi:10.5445/IR/1000030964en
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
dc.language.isoengen
dc.publisher|aKarlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON) |cKarlsruheen
dc.relation.ispartofseries|aKIT Working Paper Series in Economics |x45en
dc.subject.jelG01en
dc.subject.jelG11en
dc.subject.jelG12en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordbond liquidityen
dc.subject.keywordterm structure of illiquidity premiumsen
dc.subject.keywordregime-switchingen
dc.subject.keywordfinancial crisisen
dc.subject.keywordflight-to-liquidityen
dc.subject.stwZinsstrukturen
dc.subject.stwRentenmarkten
dc.subject.stwMarktliquiditäten
dc.subject.stwLiquiditätspräferenzen
dc.subject.stwFinanzmarktkriseen
dc.subject.stwTheorieen
dc.subject.stwSchätzungen
dc.subject.stwÖffentliche Anleiheen
dc.subject.stwDeutschlanden
dc.titleThe term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds-
dc.typeWorking Paperen
dc.identifier.ppn730575373en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:kitwps:45en

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