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 …

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

From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …

From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …

. Upon the arrival of a signal about banks' future defaults, investors update their expectations of bank solvency. If their …