a measure of liquidity based on the standard deviation of yields of those bonds that are used to compute the average …

Treasury securities normally possess unparalleled safety and liquidity and, consequently, carry a money premium. We use … the money premium, safety, and liquidity. Our results shed light on Treasury market dynamics specifically, and debt more …. Meanwhile, changes in liquidity only affected the money premium during the impasses. Next, we show that Treasury safety and …

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 …

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

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

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