dollar shock, generalised impulse response function shocks and a global shock to risk aversion. Our results show that the way … depends crucially on the nature of the shock. This result is noteworthy given the apparent divergence in competitiveness …

economy, namely a demand shock and a shock to bank capital. The main findings of the paper are as follows: i) Impulse …-response analysis shows that in response to a shock to bank capital, banks boost capital ratios by reducing their relative exposure to …) Historical shock decomposition analysis shows that bank capital shocks have contributed to increasing capital ratios since the …

risk. An adverse supply shock leads to a deterioration of firms' riskiness 10 per cent above the average PD. Contractionary …