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An Empirical Analysis of Funding Costs Spillovers in the EURO-zone with Application to Systemic Risk

Bonaldi, Pietro - 2015

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 …

Persistent link: https://www.econbiz.de/10012457206

An Empirical Analysis of Funding Costs Spillovers in the Euro-Zone with Application to Systemic Risk

Bonaldi, Pietro - 2015

Persistent link: https://www.econbiz.de/10013017495

The dynamics of spillover effects during the European sovereign debt turmoil

Alter, Adrian; Beyer, Andreas - In: Journal of banking & finance 42 (2014), pp. 134-153

Persistent link: https://www.econbiz.de/10010408412

Transmission channels of systemic risk and contagion in the European financial network

Paltalidis, Nikos; Gounopoulos, Dimitrios; Kizys, Renatas; … - In: Journal of banking & finance 61 (2015), pp. 36-52

Persistent link: https://www.econbiz.de/10011584245

A multi-level network approach to spillovers analysis : an application to the Maltese domestic investment funds sector

Meglioli, Francesco; Gauci, Stephanie - 2021

In this paper we present a new approach to analyse the interconnectedness between a macro-level network and a local-level network. Our methodology is developed on the Diebold and Yilmaz connectedness measure and it considers the presence of entities within a global network which can influence...

Persistent link: https://www.econbiz.de/10012603304

Analyzing credit risk transmission to the non-financial sector in Europe : a network approach

Gross, Christian; Siklos, Pierre L. - 2019

Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...

Persistent link: https://www.econbiz.de/10012317318

Analyzing credit risk transmission to the non-financial sector in Europe : a network approach

Gross, Christian; Siklos, Pierre L. - 2018

Persistent link: https://www.econbiz.de/10011978741

Financial contagion with spillover effects : a multiplex network approach

Peralta, Gustavo; Crisóstomo, Ricardo - 2016

This paper presents a comprehensive model of financial contagion encompassing both direct and indirect transmission channels. We introduce direct contagion through a 2-layered multiplex network to account for the distinct dynamics resulting from collateralized and uncollateralized transactions....

Persistent link: https://www.econbiz.de/10011975678

The role of systemic risk spillovers in the transmission of Euro area monetary policy

Skouralis, Alexandros - 2021

This paper empirically investigates the transmission of systemic risk across the Euro Area by employing a Global VAR model. We find that a union aggregate systemic risk shock results in a sharp decline in output, with two thirds of the response to be attributed to cross-country spillovers. The...

Persistent link: https://www.econbiz.de/10012704731

Tax Advantages and Imperfect Competition in Auctions for Municipal Bonds

Garrett, Daniel - 2017

auction model to measure markups, and to illustrate and quantify how the interaction between tax policy and bidder strategic …

Persistent link: https://www.econbiz.de/10012455208

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