Using novel data on individual euro area banks' balance sheets this paper shows that exposure to stressed European … sovereigns manifested in a liquidity shock to their international funding through two channels: (i) a contraction in cross … measures, in the form of the 3-year Long-Term Refinancing Operations (VLTROs), in mitigating effects of the European sovereign …

environment; ii) the role of government bonds as liquidity instruments; iii) whether and how the correlation structure of the … sovereign-bonds’ market values affects the portfolio composition of liquidity instruments and prices, and the scope for a debt …

At the end of 2009, countries in the Eurozone began to experience a sudden divergence of bond yields as the market …, liquidity risk should be priced into both instruments in such a way that buying exposure to the same default risk is identically … priced. We use a time-varying vector autoregression framework to establish the credit and liquidity spreads interactions over …

sovereign credit default swap (CDS) market and the liquidity of the sovereign bond market for a group of Eurozone countries …At the end of 2009, countries in the Eurozone began to experience a sudden divergence of bond yields as the perceived … prospect of sovereign default risk increased. This paper examines the potential spillovers between the liquidity of the …

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 …