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- Regarding term premia, it is actually the duration of expected cash flows that matters. This might introduce small differences in term premia (see Broner, Lorenzoni, and Schmukler, 2013). times the quantity of risk. With integrated financial markets, the price of risk tends to be a common factor that will be accounted for by our time fixed effects, leaving only the quantity component of liquidity risk as a confounding factor (see also the discussion in Section A.2.). Finally, even considering only a sample of advanced economies with very liquid markets or ending the sample before the recent financial crisis where liquidity did dry up does not qualitatively affect our results.
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- This also holds true for the EU implementation in the European System of National Accounts 1995 (European Commission, 1996) and 2010 (European Commission, 2013). B Additional tables and figures
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