Chosen Measures for Pricing of Liquidity

The financial crisis of 2007–2009 showed that especially liquidity risk was underestimated or was not taken seriously into account. The existing liquidity measures proved to be inadequate or incorrectly used. This is why the alternative measures should be considered. The aim of the article is to examine the specific measures of liquidity using a sample of daily data. The particular attention will be paid to the yield curve fitting error, precisely to root mean squared error. The analysis covers the time series of errors calculated from daily WIBOR data and yield curve construction using two types of parametric models—Nelson-Siegel and Svensson one. By employing chosen liquidity measures into Polish financial market one can confirm their effectiveness in case of market disturbances.