-zone sovereign debt crisis. During this period, gilt market liquidity fluctuates significantly with execution costs almost doubling … at the peak of the crisis. Consistent with theory, dealer balance sheet constraints and increased funding costs are …We use proprietary transactional data to examine the determinants of liquidity in the UK government bond (gilt) market …

Treasury bills and other near-money assets provide owners with liquidity service benefits that are reflected in prices … in the form of a liquidity premium. I relate time variation in this liquidity premium to changes in the opportunity cost … of money: The liquidity service benefits of near-money assets are more valuable when short-term interest rates are high …