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Estimering av likviditetspremien för realobligationer

Babinszki Vass, Christopher LU (2011) NEKM09 20111
Department 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)
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author
Babinszki Vass, Christopher LU
supervisor
organization
course
NEKM09 20111
year
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},
}