Managers of official foreign exchange reserves have been facing historically low yields on highly rated government …

and contains almost all valid information on liquidity risk. As the credit level decreases, the explanatory power of …

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 …