Sovereign Eurobond Liquidity and Yields
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Summary:
Market liquidity is of value to both investors and issuers of securities, and is therefore a crucial factor in asset pricing. For the important asset class of Eurobonds, significant feedback from liquidity to pricing is established, and it is shown that bid-ask spreads (a proxy for market liquidity) and yields are closely related to bond characteristics such as issue volume, time to maturity, the inclusion of collective action clauses, and the jurisdiction of issuance. Debt management offices can choose these characteristics in a way that has economically significant and persistent effects on both liquidity and pricing.
Series:
Working Paper No. 2022/098
Subject:
Asset and liability management Bond yields Bonds Collective action clauses Credit ratings Financial institutions Liquidity Money
Frequency:
regular
English
Publication Date:
May 20, 2022
ISBN/ISSN:
9798400211430/1018-5941
Stock No:
WPIEA2022098
Pages:
71
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