• Abstract
  • Non-technical summary
  • 1 Introduction
  • 2 The economics of the on-the-runliquidity phenomenon
  • 2.1 The German government bond market
  • 3 Data
  • 4 Determinants of liquidity in the Germanbond market
  • 4.1 Determinants of traded volumes
  • 4.2 Determinants of quoted depths
  • 4.3 Determinants of quoted bid-ask spreads
  • 4.4 Determinants of the liquidity index
  • 5 Price effects of liquidity and deliverability
  • 5.1 Variable construction
  • 5.2 Empirical results
  • 5.3 Value of on-the-run status
  • 6 Conclusion
  • References
  • Appendix
  • European Central Bank Working Paper Series