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 …

situation poses to price stability. We propose to regard the central banker as a risk manager who aims to contain inflation … within pre-specified bounds. We develop formal tools of risk management that may be used to quantify and forecast the risks … of failing to attain that objective. We illustrate the use of these risk measures in practice. First, we show how to …

model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends … in metals and a food prices. These factors are included in a FAVAR model together with selected macroeconomic variables …

restrictions implied by no-arbitrage is added to a Factor-Augmented Vector Autoregression (FAVAR). The model is found to strongly …

The global financial crisis rapidly spread across borders and financial markets, and also distressed EU bond markets … test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR detecting … significant sudden changes in shock transmission. Results indicate substantial spillover, especially between EMU countries …