Widening interest rate spreads observed during the recent financial crisis could represent deteriorating liquidity or greater credit risk. I construct new microstructure measures of liquidity and credit and find that market liquidity effects explain more than two-thirds of the widening of one- and three-month euro LIBOR-OIS spreads and of intra-euro-area sovereign debt spreads over the sample period. My new liquidity measure uses the spread between bonds of differing liquidity that are all guaranteed by the German government, and that therefore should not be contaminated by any effects of credit; my new credit risk measure is an indicator of credit tiering in the interbank money market. Over the sample period, my two measures are nearly orthogonal, making it possible to econometrically identify the separate effects of credit and liquidity. Previous literature finds that risk spreads are largely attributable to default risk, but I ascribe this to their mismeasurement of liquidity and credit.