variables and the macroeconomy by estimating a panel Bayesian VAR model for twelve euro area countries. The model is estimated … change in NPL ratios tends to depress bank lending volumes, widens bank lending spreads and leads to a fall in real GDP …

macroeconomy by estimating a panel Bayesian VAR model for twelve euro area countries. The main findings are as follows: i) An … impulse response analysis shows that an exogenous increase in the change in NPL ratios tends to depress bank lending volumes …, widens bank lending spreads and leads to a fall in real GDP growth and residential real estate prices; ii) A forecast error …

legacy of a debt overhang that dramatically constrained bank lending and served as a drag on economic growth in the post …-crisis period. We quantitatively study the determinants of loan losses in static and dynamic panel models with a focus on the … linkages between the macro-financial vulnerabilities and a wide range of bank specific variables in 20 emerging European …

This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and …