We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity...

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when investors differ in their investment horizons. In equilibrium, short-horizon investors only invest in short-term assets and illiquidity spills over from short-term to long-term...

In this paper, we measure the extent and dissemination of the retreat of the state from entrepreneurial activities in 20 OECD countries during the 1980–2007 period using a three-dimensional concept and a new dataset, the REST database. We consider privatization, deregulation in network-based...