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 …

. Cross section fixed effects are applied to first differences and dummy variables. For liquidity and non-liquid assets the … liquidity ratios and creditor ratios decline when short-term ECB-rates fall. If ECB rates are negative, liquidity ratios are ….6% smaller, while liquidity ratios increased by 2.3 percentage points. Originality / value of the article: Papers on the …

We study the contribution of liquidity to time-series dynamics and cross-sectional variations of Euro area sovereign … crisis. Using intraday trade and quote data we construct several alternative liquidity measures and study their contribution … to yield preads. When we control for standard risk factors, such as credit and term, liquidity does not provide a …

impact on liquidity conditions as measured by bid-ask spreads and inter-dealer order book depth. We further show that the …