We identify frictions in the market for liquidity as well as bank-specific and market-wide factors that affect the … prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the … liquidity. We find that the price a bank pays for liquidity depends on the liquidity positions of other banks, as well as its …

rates of return to compensate agents for their relative lack of liquidity. Consistent with empirical findings, our model …

Market liquidity and market making – the case of fixed income and low interest rates Market liquidity has received a … lot of attention lately, especially in fixed-income markets. This paper studies the determinants of market liquidity in a …, market makers provide liquidity to the market, which they are compensated for through the difference between the prices at …

demand for liquidity in the interbank market as wells as banks' access to this market. Results indicate that riskier banks … pay higher prices and borrow less liquidity, concurrent with the existence of market discipline. More capitalized and … higher prices and hoard liquidity when liquidity positions across them are more imbalanced and during a monetary policy …

This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage …-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect … liquidity shocks embedded in the IFRs is compensated in the cross-section of expected excess returns| agency MBS that are better …

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 …

. The attractiveness of bonds as liquidity makes aggregate bond demand downward-sloping, so that greater bond supply raises …

differences in their level of liquidity. Those bonds with a lower daily turnover would experiment a higher volatility around the … an additional liquidity term is added and parameters are estimated by weighted least squared errors to take into account … the liquidity-induced heterokedasticity …

We present findings on the secondary market liquidity of government and covered bonds in Denmark before, during and … markets but the government bond market experienced a brief but pronounced decline in market liquidity while liquidity in the … autumn of 2008. After the crisis, liquidity in the government bond market quickly rebounded and government bonds again became …