Chosen measures for pricing liquidity

The financial crisis of the years 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. For this reason, the alternative measures should be considered. The aim of the article is to investigate specific liquidity measures using a sample of daily data. The attention is focused in particular on the yield curve fitting error, precisely on the 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. By employing the selected liquidity measures on the Polish financial market, one can find evidence of its changing level in case of market disturbances.