Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2015 - First draft: September 2013, This draft: March 2015
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 …
