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 …

lowers mean borrowing costs by 9-10%. We estimate a structural auction model to measure markups and to illustrate and …

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 …

When a bank experiences a negative shock to its equity, one way to return to target leverage is to sell assets. If … asset sales occur at depressed prices, then one bank's sales may impact other banks with common exposures, resulting in … explains how the distribution of bank leverage and risk exposures contributes to a form of systemic risk. We compute bank …

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

zero in the aggregate across countries. We apply this decomposition to an analysis of fiscal spillovers in the Eurozone … Germany and some other large Eurozone countries may be large, and within the range of empirical estimates. Without …