The German sub-national government bond market

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The paper presents a comprehensive data set of all bonds issued by the sixteen German states (Länder) since 1992. It thus provides a complete picture of a capital market comparable in size to funds raised in the German fixed income market for corporations. The quantitative analysis reveals that Länder follow different issuing strategies: while some concentrate to a greater extend on large issues or issue joint bonds with other Läander (Jumbos), others rely more on comparatively small but frequent issues. Moreover, some Länder issue a significant volume-share of their bonds in foreign currencies. Suitable bondsare used to compute yields for the respective Länder at a daily frequency. In addition, we construct a measure of liquidity based on the standard deviation of yields of those bonds that are used to compute the average yield.