. Finally, an application of the country-specific SovCISS indicators to the VAR-based spillover literature suggests that stress …

VAR suggest that systemic stress is a major driver of the Great Recession, while its contribution to the COVID-19 crisis …

to study contagion potential of an exogenous default shock via counterparty credit and funding risks. We construct …

, the paper applies a newly developed methodology based on infinite VAR theory featuring a dominant unit to a large set of … 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 …

methodology, based on a non-linear VAR system, follows work by Balke (2000) for the US. The results reveal evidence of threshold …

Bayesian VAR model identified with sign restrictions. The variables included in the VAR are those typically used in monetary … 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 …