We analyse micro data on Irish mortgages and distressed households' balance sheets in the last decade to assess the debt resolution process in the Irish mortgage market in the lead up to the COVID-19 shock. We highlight the widespread engagement of Irish borrowers with debt resolution mechanisms...

This paper describes a novel methodology of measuring risky and conservative mortgage credit using household survey data for 18 European Union countries and the United Kingdom. In addition, we construct time series for both types of credit and embed them into a global vector autoregressive...

This paper is a first attempt to include credit derivatives in international macrofinancial analysis. We document that gross credit derivatives holdings map to bilateral portfolio investment linkages. On a net basis, our results suggest an asymmetry between sectors and between net buyers and net...

Banks mustmake forward-looking provisions for loan losses undernewinternational accounting standards introduced in 2018. In Europe, banks will assign performing exposures to a new "Stage 2" category with a higher provisioning penalty, if they have experienced significant increase in credit risk...

The Irish banking system has in recent years experienced a large build-up in Non-Performing Loans (NPLs) during the crisis followed by a sharp reduction in the 2013-2017 period. In this article I present a recent history of the ongoing resolution of the mortgage arrears crisis in Ireland. Using...

I develop a model where the sovereign debt capacity depends on the capitalization of domestic banks. Low-capital banks optimally tilt their government bond portfolio toward domestic securities, linking their destiny to that of the sovereign. If the sovereign risk is sufficiently high,...