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Bank of Canada RSS Feedsen2024-03-28T16:08:57+00:00Bond 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+00:00enBond Liquidity Premia2009-10-15Financial marketsFinancial stabilityWorking Paper 2009-28 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-28.pdfBond Liquidity PremiaJean-Sébastien FontaineRené GarciaOctober 2009EE4E43HH1H12