domestic government debt in the euro area,thus strengthening or weakening the sovereign-bank nexus. To do so, we construct … theunsystematiccomponent of macroprudentialpolicy in panel vector autoregressive models for euro area “core" and “periphery"countries. Our main …

exposure of banks to the debt issued by the national government. Our results suggest that euro area crisis countries' banks …

We examine the fiscal footprint of macroprudential policy in euro area countries arising through the bond market …