Safe and Liquid Mortgage Bonds: Evidence from the Danish Housing Crash of 2008

Jens Dick-Nielsen, Jacob Gyntelberg, Jesper Lund

Research output: Contribution to conferencePaperResearchpeer-review


This paper shows that strict match pass-through funding of covered bonds provides safe and liquid mortgage bonds. Despite a 30% drop in house prices during the 2008 global crisis Danish mortgage bonds remained as liquid as most European government bonds. The Danish pass-through system effectively eliminates credit risk from the investor's perspective. Similar to other safe bonds, funding liquidity becomes the main driver of mortgage bond liquidity and this creates commonality in liquidity across markets and countries. These findings have implications for how to design a robust mortgage bond system and for the treatment of covered bonds in capital regulation.
Original languageEnglish
Publication date2016
Number of pages60
Publication statusPublished - 2016
EventThe 43rd European Finance Association Annual Meeting (EFA 2016) - BI Norwegian Business School, Oslo, Norway
Duration: 17 Aug 201620 Aug 2016
Conference number: 43


ConferenceThe 43rd European Finance Association Annual Meeting (EFA 2016)
LocationBI Norwegian Business School
Internet address


  • Mortgage bonds
  • Covered bonds
  • Housing crisis
  • Market design
  • Banking regulation
  • Financial intermediation

Cite this