This paper comprehensively analyses the connectedness between liquidity and credit risks of nine sovereign bonds in the EMU. We find that both risks are not highly connected between central and peripheral countries jointly and by blocks (central vs. peripheral). Subsequently, the temporal dynamics of these relationships are examined, paying particular attention to the net directional connectivity of liquidity and credit risk in Germany since the market perceives this country as the anchor of the EMU. Despite the hegemonic role played by Germany, we find that this country is a net absorber of liquidity risk most of the time and a net absorber of credit risk for almost half of the sample period (2008-2018). Finally, we study the pairwise interconnection between the sovereign bond risks over the entire sample and two crises’ episodes, finding that risk transmission goes mainly from credit to liquidity risk.