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2024-03-29T15:28:12+00:00
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Bond Liquidity Premia
https://www.bankofcanada.ca/2009/10/working-paper-2009-28/
Recent 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.
2009-10-15T14:22:56+00:00
en
Bond Liquidity Premia
2009-10-15
Financial markets
Financial stability
Working Paper 2009-28
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-28.pdf
Bond Liquidity Premia
Jean-Sébastien Fontaine
René Garcia
October 2009
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