sovereign risk affects banking risk (and vice versa), presents some new evidence on bank-sovereign links, and discusses policy …

We study the effect of the increase in Italian sovereign debt risk on credit supply on a sample of 670,000 bank … exploit the lower impact of sovereign risk on foreign banks operating in Italy than on domestic banks. We study firms …

We find evidence of a bank lending channel for the euro area operating via bank risk. Financial innovation and the new … ways to transfer credit risk have tended to diminish the informational content of standard bank balance-sheet indicators …. We show that bank risk conditions, as perceived by financial market investors, need to be considered, together with the …

between macroeconomic variables and time-varying bond risk premia. Estimating the model with US and German data, we obtain an … find that time-varying risk premia play a non-negligible role in exchange rate fluctuations due to the fact that a currency … tends to appreciate when risk premia on long-term bonds denominated in that currency rise. A number of other novel empirical …

We study the dynamics of risk premiums on the German bond market, employing no-arbitrage term-structure models with … specification analisys based on a new canonical representation for this class of models. We find that risk premiums display a …

their consequences for monetary transmission mechanisms. This paper analyses the case of a monetary union composed of …