We construct credit risk indicators for euro area banks and non-financial corporations. These are the average spreads … divergence in credit spreads for financial firms across national boundaries. This divergence in cross-country credit risk …

demand in the corporate debt market. We take into account the effect of the competitive environment, as well as the risk …

general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns … provides a feasible basis for undertaking the nontrivial task of model comparison. Furthermore, we introduce new volatility … model, namely SV-GARCH which attempts to bridge the gap between GARCH and stochastic volatility specifications. In nesting …

’s calibration implying a higher re-hiring probability and lower recruitment costs for unskilled workers, explains the volatility of …

discusses its implications for the business cycle. The source of financial fragility is the socially excessive risk-taking by …) policy dedicates the prudential instrument to preventing inefficient risk-taking by banks; and the monetary instrument to …