Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2015 - First draft: September 2013, This draft: March 2015
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … Italian government's credit risk. We also document the importance of market-wide and dealer-specific funding liquidity … detailed, quote-level dataset of the largest interdealer market for Italian government bonds, we show that changes in credit …