This paper shows stylized facts on the rather large retrenchment of cross-border lending by Euro-area banks into emerging markets. The clearest case is Asia where Euro-area banks have massively lost market share. The reason, however, is not only related to their retrenching but also to the surge...

Despite the large output declines suffered by emerging Europe in 2008-09, a major currency and banking crisis was avoided. This paper argues that European economic and political integration was a mitigating factor in this. Cross-border banking groups, in particular, seem to have forestalled a...

We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...

The paper reviews the origins and complexity of the ongoing Eurozone debt crisis in which bank bad debts and government debts have become intertwined in a ‘Doom Loop'. It reports on a ‘Round Table'(panel) discussion chaired by the author on behalf of the UK's Money, Macro, Finance Research...

The changing landscape for European banks influences the future of sovereign borrowing and vice versa. The fates of banks and sovereigns are intertwined, including by toxic feed-back loops between them. The study suggests considering four policy principles or guidelines to weaken the toxic...

The paper reviews the origins and complexity of the ongoing Eurozone debt crisis in which bank bad debts and government debts have become intertwined in a ‘Doom Loop'. It reports on a ‘Round Table'(panel) discussion chaired by the author on behalf of the UK's Money, Macro, Finance Research...

This paper analyzes the drivers of cross-border bank lending to 49 Emerging Markets (EMs) during the period 1990Q1-2014Q4, by assessing the impact of monetary, financial and real sector shocks in both the US and the euro area. The literature has traditionally highlighted the influence of US...

On January 1, 2013, it became mandatory that every new sovereign bond issued by a member of the European Monetary Union include a new contract clause called a Collective Action Clause or CAC. This, we believe, constituted the biggest one-time change to the terms of sovereign debt contracts in...

We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major European countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is considerable...

This paper focuses on the impact of economic policy uncertainty on risk spillovers within the Eurozone and contributes to these two growing literatures. To this end, we adapt the two-step procedure developed by Adrian and Brunnermeier (2011) in the framework of financial systemic risk to...