Policy rates in advanced economies are at record lows and central banks have resorted to unconventional policy tools, but there are concerns that the low policy rates have not been transmitted to lending rates for households and non-financial firms. In this special feature, we investigate...

The Greek crisis has brought to light the strong nexus between the credit risks of European banks and their sovereign. We study this phenomenon in Germany, France, Italy and Spain by estimating the conditional correlations between sovereign and bank CDS bond spreads over the period 2006-2015. A...

This paper investigates the impact of the European Central Bank's unconventionalmonetary policies (UMP) between 2008-2019 on the European government bond yields.It adopts a novel econometric approach that combines a data-rich factor analysis andVAR with heteroskadasiticy based identification....

This paper uses panel vector autoregressive models and simulations of an estimated DSGE model to explore the reaction of Euro area banks to the global financial crisis. We focus on their interest rate setting behavior in response to standard macroeconomic shocks. Our main empirical finding is...

In this paper we present an empirically stable euro area money demand model. Using a sample period until 2009:2 shows that the current financial and economic crisis that started in 2007 does not appear to have any noticeable impact on the stability of the euro area money demand function. We also...

This paper empirically investigates the transmission of systemic risk across the Euro Area by employing a Global VAR model. We find that a union aggregate systemic risk shock results in a sharp decline in output, with two thirds of the response to be attributed to cross-country spillovers. The...

In this paper we use a Markov-switching vector autoregressive model to analyse the interest rate pass-through between interbank and retail bank rates in the Euro area. Empirical results, based on monthly data for the period 2003–2011, show that during periods of financial distress bank lending...