The issuing policy of the U.S. Treasury allows us to unambiguously isolate maturity-dependent liquidity premia in the … Treasury market. We determine and analyze three term structures of liquidity premia obtained from observed yields of coupon …. Considering liquidity premia between coupon STRIPS and Treasury notes, we surprisingly find that short-term coupon STRIPS are more …

rates, frictionless term premiums, and liquidity premiums produces three key results given data from January 1987 through … April 2022. First, model yield and excess return loadings on the observable liquidity factor are larger than for the slope …-cyclicality of required nominal UST returns owes to liquidity not frictionless term premiums. Third, given similar estimates using …

, liquidity, and the yield curve. We find that orderflow imbalances (excess buying or selling pressure) can account for as much as … orderflow on yields is permanent and strongest when liquidity is low. All of the evidence points toward an important role of …