Liquidity and credit risk premia in government bond yields

摘要: This paper quantifies liquidity and credit premia in German French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds exploit the fact that any difference their yields vis-`a-vis can be attributed to differences premia. Adding information on risk-free rates, obtain model-free model-based gauges sovereign premia, which are an important alternative based CDS markets. The results allow us quantify price impact so-called JEL Classification: E44, G12, G01