Society and Economy
Volume/Issue:
Volume 35: Issue 4
Crisis on the Hungarian government bond markets in the winter of 2011–2012: Was there a liquidity problem?
Author:
Zoltán Monostori

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Pages:
539–550
Online Publication Date:
05 Nov 2013
Publication Date:
01 Dec 2013
Article Category:
Research Article
DOI:
https://doi.org/10.1556/socec.2013.0009
Keywords:
bond; liquidity; index; ownership; decomposition; G01; G12; H63
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In this paper, I examine the Hungarian government bond market’s liquidity developments in recent years. First, I explain the importance of market liquidity for central bankers. I identify the most significant economic shocks and their impacts on the market by using various market indicators. The changes in the Hungarian pension system strongly affected the ownership structure of the government bond market, and raised the amount held by non-residents. A simple yield decomposition shows that while during the crisis of 2008–2009, the Hungarian sovereign bond yields were enhanced principally by the increase of the credit and liquidity risk premia, the crisis of 2011–2012 might increase credit risk premium, but increase liquidity risk premium less significantly.

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Society and Economy
Print ISSN:
1588-9726
Online ISSN:
1588-970X

Editor-in-chief: Balázs SZENT-IVÁNYI

Co-Editors:

  • Péter MARTON (Corvinus University, Budapest)
  • István KÓNYA (Corvinus University, Budapest)
  • László SAJTOS (The University of Auckland)
  • Gábor VIRÁG (University of Toronto)

Associate Editors:

  • Tamás BOKOR (Corvinus University, Budapest)
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Society and Economy
Language English
Size B5
Year of
Foundation		 1972
Volumes
per Year		 1
Issues
per Year		 4
Founder Budapesti Corvinus Egyetem
Founder's
Address		 H-1093 Budapest, Hungary Fővám tér 8.
Publisher Akadémiai Kiadó
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ISSN 1588-9726 (Print)
ISSN 1588-970X (Online)

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