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 …

is generally small. Surprisingly, we find that spill-overs of bank-related events are not significantly different from …

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

dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a … the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and … Debt Crisis, and with movements coming mostly from changes in cross-country as opposed to within-country bank linkages …

dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a … the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and … Debt Crisis, and with movements coming mostly from changes in cross-country as opposed to within-country bank linkages …

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 …