This paper examines the underlying dynamics of selected euro-area sovereign bonds by employing a factor-augmenting vector autoregressive (FAVAR) model for the first time in the literature. This methodology allows for identifying the underlying transmission mechanisms of several factors; in...

This paper examines for the first time the impact of problem loans on Japanese productivity growth. We exploit a new data set of Japanese problem loans classified into two categories: bankrupt and restructured loans. We opt for a novel and flexible productivity growth decomposition that allows...

The Japanese banking industry is an interesting one, given chronic problems related to notorious non-performing loans, originated back in the 1990s, but also due to an unprecedented monetary expansion. In this paper, we focus on the impact of quantitative easing on bank level risk, while...

The rapid spread of COVID-19 across the globe primed a variety of non-pharmaceutical interventions (NPIs). Given these NPIs, whether the SIR parameters followed a Bayesian learning, a random walk pattern or other type of learning with evolving epidemiological data over time has implications for...