Liquidity risk is the risk that an asset cannot always be sold without causing a fall in its price because of a lack of demand for this asset. Many empirical studies examining liquidity premia have focused on government bonds. In this paper, we specifically investigate the yield differentials between liquid and illiquid German covered bonds by considering the yields of traditional Pfandbrief bonds and Jumbo Pfandbrief bonds with different maturities. In terms of credit risk the spread between the yields of these two types of covered bonds should be zero. Moreover, assuming that the liquidity risk premium is a stationary variable the yields of Pfandbrief bonds and Jumbo Pfandbrief bonds (which seem to be integrated of order one) should be cointegrated. We make use of the methodology proposed in the related field of fractional integrated models to conduct our empirical analysis. Due to the 2008–2009 global financial crisis, it also seems to be appropriate to consider structural change. To the extent that the European Central Bank has started to purchase covered bonds under the crisis pressure, our empirical evidence would have a high relevance for monetary policymakers as far as the liquidity risk is concerned. Here, our results indicate fractionally cointegrated yields before and after the crisis, while the degree of integration of the spread increases strongly during the crisis.