The main objective of this paper is to study whether the introduction of the euro had an impact on the degree of … and Eurozone risk) on Government bond returns, in the two groups of countries (EMU and non-EMU) in EU-15. Our empirical … evidence suggests that the impact of the introduction of the euro on the degree of integration of European Government bond …

transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector … leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system …

-asset price movements in a sign-restricted BVAR model to analyse the extent to which euro area and US yields, equity prices, and … the euro-US dollar exchange rate are jointly driven by monetary policy, macro and global risk factors. A novelty is that … of euro area financial variables. Euro area shocks transmit much less to US financial markets in comparison, with global …

We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second …, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH … movements in both equity and bond euro area markets, suggesting that integration has progressed since the introduction of the …

In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an …

impact on the cointegration properties in empirical modelling, the monetary model in Coenen &Vega (2001) based on fixed …

The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space …. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated … the marginal likelihood identity is used for calculating these probabilities, a point estimator of the cointegration space …

We use financial accounts data at sector level to construct financial networks for individual euro area countries. We … marked deterioration in financial integration both within economies and across countries in the euro area. Nonetheless, our …

This paper uses a unique dataset where credit rejections experienced by euro area firms are matched with firm and bank … the euro area during the sovereign debt crisis, and in credit developments characterising the post-crisis recovery … representation of euro area firms of small and medium size. Our findings suggest that, while firm balance sheet factors have been …