This paper presents a novel approach to investigate and model the network of euro area banks' large exposures within … risk of the euro area banking system based on bilateral linkages. We then develop a Contagion Mapping (CoMap) methodology … contagion which can be used to calibrate bank-specific capital and liquidity requirements and large exposures limits. We find …

stress indicator with a specific focus on the euro area. As far as we know, our indicator is the first attempt to develop an … indicator of financial stress with a specific focus on the euro area. It is also the first to exploit the information contained … in central bank communication to help measure stress in financial markets. For use in real time, the indicator is able to …

This paper provides a detailed description of an extended version of the ECB’s New Area-Wide Model (NAWM) of the euro … policies and for the presence of shocks originating in the financial sector itself, (ii) capturing the prominent role of bank … lending rates and the gradual interest-rate pass-through in the transmission of monetary policy in the euro area, and (iii …

themselves and with the euro zone. Within the framework of a factor model for market returns, we measure integration as the … between themselves and with the euro area. As for smaller countries, only Estonia and to a less extent Cyprus show increased … integration both with the euro zone and the block of large economies. In the bond markets, we document an increase in integration …

We propose a new and time-varying optimum currency area (OCA) index for the euro area in assessing the evolution of the … autoregression (VAR) model. We argue that the euro area is more appropriate through the lens of empirical OCA properties when the … relative importance of common symmetric shocks is high, but, at the same time, is not overly dispersed across euro area member …

-anchored inflation dynamics in the euro area? This paper is the first time-varying event study to investigate the reaction of inflation …-linked swap (ILS) rates – a market-based measure of inflation expectations – to macroeconomic surprises in the euro area. Compared …

How sizable is the wealth effect on consumption in euro area countries? To address this question, we use newly … available harmonized euro area wealth data and the methodology in Carroll et al. (2011b). We find that the marginal propensity … to consume out of total wealth averaged across the largest euro area economies is around 3 cents per euro, with a …

In the paper we investigate the empirical features of euro area money market turbulence during the recent financial …