The paper proposes a framework for assessing the impact of system-wide and bank-level capital buffers. The assessment rests on a factor-augmented vector autoregression (FAVAR) model that relates individual bank adjustments to macroeconomic dynamics. We estimate FAVAR models individually for...

To measure integration, economic theory provides a clear background regarding price convergence: the law of one price. This paper is the first test of this law in euro-area retail banking. Since the law can be verified only on similar assets, we use recent harmonized data and a methodology that...

This study examines the effects of the global financial crisis (GFC) on interbank market connectivity using network analysis. More specifically, using data on Italian banks' bilateral interbank positions between 1998 and 2013, we analyze the impact of the following events on each bank's network...

This paper analyses the main microeconomic determinants of Italian banks' purchases of sovereign debt securities from 2007 to 2013, with special reference to their balance-sheet conditions. The analysis distinguishes two phases of the crisis – the period following the Lehman Brothers collapse...