The persistent premium of government debt attributes to two main reasons: absolute nominal safety and liquidity. This … paper employs two types of measures of government debt supply to disentangle the safety and liquidity part of the premium … liability to all sector total liability, separates the liquidity premium from the safety premium and has a negative impact too …

This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …

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 …