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Sovereign Eurobond Liquidity and Yields

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  • Mr. Daniel C Hardy

Abstract

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.

Suggested Citation

  • Mr. Daniel C Hardy, 2022. "Sovereign Eurobond Liquidity and Yields," IMF Working Papers 2022/098, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2022/098
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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=518222
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    Cited by:

    1. Daniel C. L. Hardy, 2022. "Alternatives in the Design of Sovereign Green Bonds," wiiw Policy Notes 62, The Vienna Institute for International Economic Studies, wiiw.

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