Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2015 - First draft: September 2013, This draft: March 2015
context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … (LTRO) intervention by the ECB weakened the sensitivity of the liquidity provision by the market makers to changes in the …This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the …