Liquidity in Bond Markets
Abstract:
This thesis studies how to best measure liquidity in bond markets and how illiquidity influences bond prices and yields. We answer the first question by empirically comparing the performance of all commonly employed liquidity measures. In the second part, we analyze liquidity related yield differences and how they behave in different economic regimes. Finally, the third part presents an equilibrium framework to study the influence of illiquidity on bond prices from a theoretical perspective.
| Zugehörige Institution(en) am KIT | Institut für Finanzwirtschaft, Banken und Versicherungen (FBV) |
| Publikationstyp | Hochschulschrift |
| Publikationsjahr | 2014 |
| Sprache | Englisch |
| Identifikator | urn:nbn:de:swb:90-446623 KITopen-ID: 1000044662 |
| Verlag | Karlsruher Institut für Technologie (KIT) |
| Art der Arbeit | Dissertation |
| Fakultät | Fakultät für Wirtschaftswissenschaften (WIWI) |
| Institut | Institut für Finanzwirtschaft, Banken und Versicherungen (FBV) |
| Prüfungsdatum | 23.05.2014 |
| Schlagwörter | bond liquidity, term structure of liquidity premia, transaction costs, bid-ask spread, financial crisis |
| Referent/Betreuer | Uhrig-Homburg, M. |