German Bond Yields and Debt Supply: Is There a “Bund Premium”?

German Bond Yields and Debt Supply: Is There a “Bund Premium”?
Are Bunds special? This paper estimates the “Bund premium” as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign bonds. We document a rise in the “Bund premium” in... READ MORE...

Publication date: November 2019
ISBN 9781513518329
$18.00

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Publication date: November 2019

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