, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to quantify illiquidity … risks, especially such related to liquidity dry-ups, and illiquidity spillover across maturities by examining the reaction … processes. We find that: a) market liquidity is more fragile and less predictable when an asset is very illiquid and, b) the …

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 …

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 …