, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to quantify illiquidity … risks, especially such related to liquidity dry-ups, and illiquidity spillover across maturities by examining the reaction … processes. We find that: a) market liquidity is more fragile and less predictable when an asset is very illiquid and, b) the …

market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse …

large volume of similar financial instruments is likely to increase liquidity and lower yields. By contrast, providing an … assessing the balance between liquidity and overcrowding effects by EMU countries' issuance plans. Our results document a …