The German sub-national government bond market:evolution, yields and liquidity

The paper presents a comprehensive data set of all bonds issued by the sixteenGerman states (Länder) since 1992. It thus provides a complete picture of acapital market comparable in size to funds raised in the German fixed incomemarket for corporations. The quantitative analysis reveals that L¨ander followdifferent issuing strategies: while some concentrate to a greater extend onlarge issues or issue joint bonds with other L¨ander (Jumbos), others rely moreon comparatively small but frequent issues. Moreover, some L¨ander issue asignificant volume-share of their bonds in foreign currencies. Suitable bondsare used to compute yields for the respective Länder at a daily frequency. Inaddition, we construct a measure of liquidity based on the standard deviationof yields of those bonds that are used to compute the average yield.[...]