liquidity risk premium - is driven by the opportunity cost of holding money and so is influenced by monetary policy. We use … markets, to measure by how much changes in monetary policy affect the liquidity risk premium embedded in repo pricing. The … liquidity risk premium-a 10 percent increase in the spread charged by securities dealers to their clients. The same effect on …

order book (LOB) by Marszałek and Burczyński (2024) may serve as a measure of stock liquidity. In particular, we aim to test … whether this measure contains similar or distinct information than other stock liquidity measures, particularly relying only … with other liquidity measures in the time series but is less correlated with them in the cross-section. Furthermore, it …