This study examines the return (price) and volatility spillovers among the money, stock, foreign exchange and bond markets in Euro-area, utilizing the forecast-error variance decomposition framework of a generalized VAR model proposed by Diebold and Yilmaz (2012) [Better to give than to receive:...

The financial crisis has been characterised by fragmentation in the transmission of monetary policy, reflected in high dispersion in the cost of bank finance for euro area firms. Using micro-level bank data across a number of euro area countries, we identify individual bank balance sheet...

We analyse a sample of systemically important European financial intermediaries that fall under the Single Supervisory Mechanism, which is part of the new institutional supervisory architecture of the Eurozone. Theory suggests that herding among financial intermediaries raises cross-sectional...

In this paper we assess the effectiveness of large scale bailouts aiming at preventing a financial crisis from further propagating into a systemic risk. We examine the structural changes in the relationship between the sovereign and financial institutions' credit default swap spreads during the...

This paper first highlights the structural features of shadow banking in the euro area, focusing on investment funds. It then discusses the potential systemic risks that the recent expansion of the investment fund sector presents. While investment funds provide important intermediation services...

Outside of financial crises, investors have little incentive to produce private information on banks' short-term liabilities held as information-insensitive safe assets. The same does not hold true during crises. We measure daily information production using data from credit default swap spreads...

We study the impact of changes in regulations and policy interventions on systemic risk among European sovereigns measured as volatility spillovers in respective credit risk markets. Our unique intraday CDS dataset allows for precise measurement of the effectiveness of these events in a network...

We study the impact of changes in regulations and policy interventions on systemic risk among European sovereigns measured as volatility spillovers in respective credit risk markets. Our unique intraday CDS dataset allows for precise measurement of the effectiveness of these events in a network...

This paper measures fragmentation in the European interbank market. We document that, during the recent crisis, fragmentation in the interbank market has been, on average, higher in the peripheral countries than in the core ones and it has increased particularly during periods of financial...

The main aim of this paper is to empirically test the endogenous money hypothesis for the Eurozone. Based on data on loans to private sector, deposits, monetary aggregates, prices and GDP we use three empirical approaches to test the hypothesis: (i) moving correlation; (ii) Granger causality...