We propose a framework for estimation of spillovers between funding costs of individual banks. The estimation proceeds … in three steps: First, using data from liquidity auctions of the European Central Bank, we estimate the funding costs in … a given week for each individual bank. In the second step, we apply the adaptive elastic net (a LASSO type estimator) to …

, which is consistent with policy measures taken by the European Central Bank. The findings are robust to a wide range of …

-specific and Europe-wide risk factors. The estimation results indicate a high, time-varying degree of spatial spillovers in the … dependence after the Greek default in winter 2012, which can be explained economically by a change in bank regulation. …

We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized …

dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a … the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and … Debt Crisis, and with movements coming mostly from changes in cross-country as opposed to within-country bank linkages …

policies. From the estimation exercise, we find that a more extensive implementation of macroprudential policies would lead PHs …

When a bank experiences a negative shock to its equity, one way to return to target leverage is to sell assets. If … asset sales occur at depressed prices, then one bank's sales may impact other banks with common exposures, resulting in … explains how the distribution of bank leverage and risk exposures contributes to a form of systemic risk. We compute bank …

From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …

to estimate. We apply the model to several datasets for Eurozone sovereign credit risk during the sovereign debt crisis …