Liquidity measures for bonds selection to estimate the interest rate curvespanish case

  1. SONIA RODRíGUEZ-SANCHEZ 1
  2. MARIANO GONZALEZ-SáNCHEZ 2
  3. M. CARMEN GARCíA-CENTENO 1
  1. 1 Universidad CEU San Pablo
    info

    Universidad CEU San Pablo

    Madrid, España

    ROR https://ror.org/00tvate34

  2. 2 Universidad Nacional de Educación a Distancia
    info

    Universidad Nacional de Educación a Distancia

    Madrid, España

    ROR https://ror.org/02msb5n36

Revista:
Rect@: Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA

ISSN: 1575-605X

Año de publicación: 2019

Volumen: 20

Número: 2

Páginas: 153-166

Tipo: Artículo

DOI: 10.24309/RECTA.2019.20.2.03 DIALNET GOOGLE SCHOLAR lock_openDialnet editor

Otras publicaciones en: Rect@: Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA

Resumen

The European Insurance and Occupational Pensions Authority establishes that the estimation of the interest rate curve, used for the valuation of insurance company operations, should consider all liquid bonds; in particular, for the euro zone, if fixes bonds with maturity up to 20 years as the last liquid point. The financial literature has analyzed the different components of liquidity (rigidity, immediacy, breadth, resilience and depth) and it has found a significant relationship between the return-risk binomial and liquidity. This paper searches for the liquidity indicators correlated with bond yield and risk, in order to select the last liquid point. On a daily data sample of the Spanish public debt market we find that, up to one month, the indicators of depth.

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Información de financiación

This work has been supported by the Spanish Ministry of Economics and Competitiveness under grant MINECO/FEDER ECO2015-65826-P, and Cátedra Universidad CEU San Pablo-Mutua Madrileña insurance company (grant ARMEG 060516-USPMM-01/17).

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