conditions, credit default and bank capitalization for the transmission of macroeconomic shocks. We fit the model to euro area … empirical literature, i.e. the pro-cyclicality of bank profitability and the counter-cyclical response of firm default rates and …

. For the researcher using Bayesian methods, a lack of identification may not be evident since the posterior of a parameter … the priors assumed on the structural parameters are independent. We suggest two Bayesian identification indicators that do …

-specific foreign output variable to capture direct inter-country linkages. In accord with the theory all variables are measured as … restrictions implied by the NK theory. The multi-country DSGE NK model is then solved to provide estimates of identified supply … through error spillover effects. Bootstrapped error bands are also provided for the cross country responses of a shock to the …

-type staggered price setting approach, which means that the adjustment of the aggregate loan rate to a monetary policy shock is …

type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank …Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary … using a model of bank risk-taking and securitization …

milder macroeconomic responses to a monetary policy shock estimated with our VAR in presence of high uncertainty. A version …