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dc.contributor.authorFontaine, Jean-Sébastienen
dc.contributor.authorGarcia, Renéen
dc.date.accessioned2011-12-15T12:56:51Z-
dc.date.available2011-12-15T12:56:51Z-
dc.date.issued2009-
dc.identifier.pidoi:10.34989/swp-2009-28en
dc.identifier.urihttp://hdl.handle.net/10419/53854-
dc.description.abstractRecent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key funding market. Then, the premium of on-the-run U.S. Treasury bonds should share a common component with risk premia in other markets. This observation leads to the following identification strategy. 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 LIBOR loans, swap contracts and corporate bonds. Moreover, the impact is large and pervasive through crisis and normal times. We check the interpretation of the liquidity factor. It varies with transaction costs, S&P500 valuation ratios and aggregate uncertainty. More importantly, the liquidity factor varies with narrow measures of monetary aggregates and measures of bank reserves. Overall, the results suggest that different securities serve, in part, and to varying degrees, to fulfill investors' uncertain future needs for cash depending on the ability of intermediaries to provide immediacy.en
dc.language.isoengen
dc.publisher|aBank of Canada |cOttawaen
dc.relation.ispartofseries|aBank of Canada Working Paper |x2009-28en
dc.subject.jelE43en
dc.subject.jelH12en
dc.subject.ddc330en
dc.subject.keywordFinancial marketsen
dc.subject.keywordFinancial stabilityen
dc.subject.stwFinanzmarkten
dc.subject.stwWertpapierhandelen
dc.subject.stwPensionsgeschäften
dc.subject.stwRisikoprämieen
dc.subject.stwCapital Asset Pricing Modelen
dc.subject.stwUSAen
dc.titleBond liquidity premia-
dc.typeWorking Paperen
dc.identifier.ppn618953108en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:bca:bocawp:09-28en

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