sovereigns manifested in a liquidity shock to their international funding through two channels: (i) a contraction in cross … households, is documented for euro area banks affected by the international liquidity shock and that drew on ECB liquidity under …

This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …

strong link is present between central bank liquidity support and sovereign holdings, opportunistic strategies or reach … advantage of their higher risk-bearing capacity to gain exposure (via central bank liquidity) to the set of riskier sovereign …

to smooth consumption over time and because they provide collateral and liquidity services. We characterize a recursive … and contemporaneous costs due to lost collateral and liquidity are essential to generate these empirically plausible …

We study the contribution of liquidity to time-series dynamics and cross-sectional variations of Euro area sovereign … crisis. Using intraday trade and quote data we construct several alternative liquidity measures and study their contribution … to yield preads. When we control for standard risk factors, such as credit and term, liquidity does not provide a …

impact on liquidity conditions as measured by bid-ask spreads and inter-dealer order book depth. We further show that the …