This paper highlights the role of multilateral creditors (i.e., the ECB, IMF, ESM etc.) and their preferred creditor status in explaining the sovereign default risk of peripheral euro area (EA) countries. Incorporating lessons from sovereign debt crises in general, and from the Greek debt...

This paper focuses on how the European Central Bank's (ECB) monetary policies influenced non-financial firms. The paper's two main contributions are, first, to shed light on non-financial firms' decisions on leverage, and how the ECB's conventional and unconventional policies may have affected...

We analyze the interconnection between the sovereign and banking sector risk in the peripheral euro area countries over the 2004Q4-2013Q2 period. Applying the contingent claims methodology, we build indicators of sovereign and banking sector risk (incorporating both market and balance sheet...

We propose an Economic Stability Index (ESI) incorporating house prices and stock prices as components of the measure of the inflation rate in order to allow the European Central Bank (ECB) to achieve both price and macroeconomic stability. We use an optimisation approach to estimate target...

The objective of this paper is to examine whether the threshold beyond which public debt may have a detrimental effect on economic growth changes across euro area countries during the 1961-2015 period. In contrast with previous studies, we do not use panel estimation techniques, but implement a...

Expectations are at the centre of modern macroeconomic theory and policymakers. In this paper, we examine the predictive ability and the consistency properties of macroeconomic expectations using data of the European Central Bank (ECB) Survey of Professional Forecasters (SPF)

The divergence in sovereign yields has been presented as a reason for the lack of traction of monetary policy. We use a GVAR framework to assess the transmission of monetary policy in the period 2005-2016. We identify sovereign yield divergence as a key mechanism by which the leverage channel of...

We assess the effectiveness of various portfolio optimization strategies (only long allocations) applied to the components of the Euro Stoxx 50 index during the period 2002-2015. The sample under study contemplates episodes of high volatility and instability in financial markets, such as the...

Based on contingent claims analysis (CCA), this paper tries to estimate the systemic risk build-up in the European Economic and Monetary Union (EMU) countries using a market based measure "distance-to-default" (DtD). It analyzes the individual and aggregated series for a comprehensive set of...

This paper contributes to the literature by empirically examining whether the influence of public debt on economic growth differs between the short and the long run and presents different patterns across euro-area countries. To this end, we use annual data from both central and peripheral...