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 …

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 …

We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized …

This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the … public debt auctions. The findings indicate that Eurosystem's asset purchase flows mitigate yield cycles during auction … periods and counteract the amplification impact of market volatility. The dampening effect of central bank asset purchases on …

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

contagion which can be used to calibrate bank-specific capital and liquidity requirements and large exposures limits. We find … non-linear function of the combination of network structures and bank-specific characteristics. …

We study the impact of higher bank capital buffers, namely of the Other Systemically Important Institu- tions (O …