sector in an environment where liquidity holdings is an input of the credit/investment process. The supply of liquidity is … constrained in that income pledgeability limits inside liquidity, and not all sovereign debt is safe/liquid. We pin down the … determinants of liquidity/collateral premia and bond spreads, and with reference to the eurozone: (i) the implications of the ECB …

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …

loss component and a liquidity premium. Time-varying default probabilities are derived. The results suggest that the rise …

find that on-the-run status has only a negligible effect on the liquidity and pricing once other factors have been … market, leads to significant liquidity spillovers. Specifically, we find that bonds which are deliverable into futures … during the recent financial crisis. -- Government bond ; liquidity ; liquidity premium ; futures market …

service payments as the key measure of indebtedness and eliminated liquidity premiums in the euro area. …

, uncertainty, and liquidity preference to the dynamics of government bond yields for countries with monetary sovereignty. Keynes …