Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82357
Authors: 
Buchholst, Birgitte Vølund
Gyntelberg, Jacob
Sangill, Thomas
Year of Publication: 
2010
Series/Report no.: 
Danmarks Nationalbank Working Papers 70
Abstract: 
We present preliminary findings on the liquidity of the government and covered bond markets in Denmark before, during and after the 2008 financial crisis. The analysis focuses on wholesale trading in benchmark bonds in the two markets and is based on an up to now unused transaction level dataset for the period from January 2005 until May 2010. We find that even though trading continued during the crisis, both markets experienced substantial declines in liquidity and significantly increased liquidity risk. Overall, our findings suggest that Danish benchmark covered bonds by and large are as liquid as Danish government bonds during periods of market stress. The findings also suggest that before the crisis government bonds were slightly more liquid than covered bonds in both the short- and longterm market segments. For the period after the crisis, the two markets appear to have had more or less the same level of liquidity for short-term as well as long-term bonds.
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.