Dick-Nielsen, Jens; Gyntelberg, Jacob; Sangill, Thomas - Bank for International Settlements (BIS) - 2012
We present findings on the secondary market liquidity of government and covered bonds in Denmark before, during and … transaction level dataset covering November 2007 until end 2011. Overall, our findings suggest that Danish benchmark covered bonds … by and large are as liquid as Danish government bonds - including in periods of market stress. Before the financial …