Market-specific and currency-specific risk during the global financial crisis: Evidence from the interbank markets in Tokyo and London

► How did money markets reflect credit and liquidity risk during the global financial crisis? ► Market-specific credit risk increased the difference across markets. ► Liquidity risk caused the difference across currency denominations. ► Coordinated central bank liquidity provisions were useful in reducing the liquidity risk in US dollar transactions. ► The effectiveness of liquidity provisions was asymmetric across markets.