Gómez-Puig, Marta; Pieterse-Bloem, Mary; … - 2022
We examine the dynamic interconnection between sovereign credit and liquidity risks in ten euro area countries at the …-VAR connectedness approach of Antonakakis et al. (2020). Our results indicate that for most periods net connectedness is from credit … credit risk. Through an event study we find that the latter episodes can be related to several ECB unconventional monetary …
