factors. We account for interdependencies between sovereign and bank CDS spreads and we derive generalised impulse response … or country-specific bank index to other sovereign or bank CDSs between October 2009 and July 2012. Channels of …

We contribute to the empirical literature on the impact of shocks to bank capital in the euro area by estimating a … economy, namely a demand shock and a shock to bank capital. The main findings of the paper are as follows: i) Impulse …-response analysis shows that in response to a shock to bank capital, banks boost capital ratios by reducing their relative exposure to …

systemic importance index for any bank into the contributions of each of the sub-networks, providing a useful tool for banking …

increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present … is no auction, is very similar to the secondary-market behavior of the auctioned series. These findings support an …