Estimering av likviditetspremien för realobligationer
(2011) NEKM09 20111Department of Economics
- Abstract (Swedish)
- Since the first issuance in 1994, Swedish Government inflation indexed bonds
have given a higher return then their nominal counterpart. This is despite the
fact that investors can reduce the risks of inflation. Findings on other markets,
as the US bond market, suggest that the higher return can be explained by the
lower liquidity of inflation indexed bonds relative the nominal bonds. The aim
of this paper is to take a closer look at the liquidity on the market for Swedish
government bonds and thereafter estimating a liquidity premium for inflation
indexed bonds relative nominal bonds. The estimation of the premium comes
from the co-movement of the breakeven inflation and suitable liquidity
variables. The results show a significant... (More) - Since the first issuance in 1994, Swedish Government inflation indexed bonds
have given a higher return then their nominal counterpart. This is despite the
fact that investors can reduce the risks of inflation. Findings on other markets,
as the US bond market, suggest that the higher return can be explained by the
lower liquidity of inflation indexed bonds relative the nominal bonds. The aim
of this paper is to take a closer look at the liquidity on the market for Swedish
government bonds and thereafter estimating a liquidity premium for inflation
indexed bonds relative nominal bonds. The estimation of the premium comes
from the co-movement of the breakeven inflation and suitable liquidity
variables. The results show a significant liquidity premium of 40 basis points
from the beginning of 2007 until the beginning of 2011. As expected the
liquidity premium peaked during the financial crisis, as the different markets
saw a flight to liquidity. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2165246
- author
- Babinszki Vass, Christopher LU
- supervisor
- organization
- course
- NEKM09 20111
- year
- 2011
- type
- H1 - Master's Degree (One Year)
- subject
- language
- Swedish
- id
- 2165246
- date added to LUP
- 2011-09-27 10:22:21
- date last changed
- 2011-09-27 10:22:21
@misc{2165246, abstract = {{Since the first issuance in 1994, Swedish Government inflation indexed bonds have given a higher return then their nominal counterpart. This is despite the fact that investors can reduce the risks of inflation. Findings on other markets, as the US bond market, suggest that the higher return can be explained by the lower liquidity of inflation indexed bonds relative the nominal bonds. The aim of this paper is to take a closer look at the liquidity on the market for Swedish government bonds and thereafter estimating a liquidity premium for inflation indexed bonds relative nominal bonds. The estimation of the premium comes from the co-movement of the breakeven inflation and suitable liquidity variables. The results show a significant liquidity premium of 40 basis points from the beginning of 2007 until the beginning of 2011. As expected the liquidity premium peaked during the financial crisis, as the different markets saw a flight to liquidity.}}, author = {{Babinszki Vass, Christopher}}, language = {{swe}}, note = {{Student Paper}}, title = {{Estimering av likviditetspremien för realobligationer}}, year = {{2011}}, }