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This paper explores the domestic and international effects of an increase in observed interest rates (conventional monetary policy) and expected interest rates (forward guidance). We find significant spillovers to a broad range of countries when both are subject to a tightening shock: Output...
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We use a factor model and elastic net shrinkage to model a high-dimensional network of European CDS spreads. Our empirical approach allows us to assess the joint transmission of bank and sovereign risk to the non-financial corporate sector. Our findings identify a sectoral clustering in the CDS...
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In this study we explore market power in 13 EU banking sectors for the years 2007 to 2019 by estimating a structural …’ conduct that depends on selected factors. Our evidence indicates that EU banks enjoy a significant degree of market power …. Finally, a clear convergence pattern emerges in the behaviour of EU banks …
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One way of evaluating how well monetary authorities perform is to provide the public with a regular and independent second opinion. The European Central Bank (ECB) and the Bank of England (BoE) are shadowed by professional and academic economists who provide a separate policy rate recommendation...
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