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 …

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

"sovereign yield shocks" transmit across countries in the Eurozone. Second, we estimate short-term supply and demand multipliers …

primary and secondary market yields, market segmentation, and measures of information acquisition during the Eurozone …