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 detailed, quote-level dataset of the largest interdealer...

This paper studies bank loan pricing in the euro area over the period October 2008 to October 2014. This period was characterised by market fragmentation and extended liquidity provision by the ECB. For our analysis we develop a theoretical framework which accounts for the main financing risks...

This paper investigates the transmission of funding liquidity shocks, credit risk shocks and unconventional monetary policy within the Euro area. To this aim, a financial GVAR model is estimated for Germany, France, Italy and Spain on monthly data over the period 2006-2017. The interactions...