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 …

This paper firstly analyzes the Liquidity Enhancement Auction, which is a unique auction implemented in the Japanese … Government Bond (JGB) markets. To improve the market liquidity in the JGB market, the Ministry of Finance, Japan (MOF) uses this … auction to issue additional older bonds that lack liquidity. Our results show that this auction significantly improves the …

environment; ii) the role of government bonds as liquidity instruments; iii) whether and how the correlation structure of the … sovereign-bonds’ market values affects the portfolio composition of liquidity instruments and prices, and the scope for a debt …

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 …

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 …

spreads, and corporate bond liquidity spreads in a unified no-arbitrage framework. Four economic factors, monetary conditions …. During the pre-crisis period, volatility shocks decrease Treasury yields and widen both credit spreads and liquidity spreads … and real output become significant as well. Ignoring the liquidity component of corporate yield spreads is shown to lead …

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 …