This paper investigates the effects of interbank rate uncertainty on lending rates to euro area firms. We introduce a … novel measure of interbank rate uncertainty, computed as the cross-sectional dispersion in interbank market rates on … overnight unsecured loans. Using proprietary bank-level data, we find that interbank rate uncertainty signi cantly raises …

This paper proposes a semi-structural approach to identifying excessive household credit developments. Using an … overlapping generations model, a normative trend level for the real household credit stock is derived that depends on four …-aged cohort, and institutional quality. Semi-structural household credit gaps are obtained as deviations of the real household …

We model economic policy uncertainty (EPU) in the four largest euro area countries by applying machine learning … components of overall EPU endogenously for a wide range of languages. The uncertainty indices computed from January 2000 to May … structural vector autoregression model to study the relationship between different sources of uncertainty and investment in …

In this paper, we analyse the effects of a shock to global fnancial uncertainty and risk aversion on real economic …