. We measure the value of funding liquidity from the cross-section of on-the-run premia by adding a liquidity factor to an … arbitrage-free term structure model. As predicted, we find that funding liquidity explains the cross-section of risk premia. An … increase in the value of liquidity predicts lower risk premia for on-the-run and off-the-run bonds but higher risk premia on …

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 …