Measuring the Liquidity Impact on EMU Government Bond Prices

  title={Measuring the Liquidity Impact on EMU Government Bond Prices},
  author={Rainer Jankowitsch},
  • Rainer Jankowitsch
  • Published 2002
It is the aim of this paper to measure the impact of liquidity on European Monetary Union (EMU) government bond prices. Although there is a growing theoretical and empirical literature on liquidity effects in fixed income markets there is no clear answer how to measure liquidity and whether liquidity is priced in the market at all. Our empirical analysis is based on an unique data set containing individual bond data from six major EMU government bond markets allowing us to compare yield curves… CONTINUE READING
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