This paper estimates export and import price equations for 40 countries – including 19 emerging market economies (EMEs) – and aims to understand heterogeneity across countries in the degree of exchange rate pass-through to import and to export prices. Results indicate that (i) the...

This paper assesses the usefulness of private credit variables and other macrofinancial and banking sector indicators for the setting of Basel III/CRD IV countercyclical capital buffers (CCBs) in a multivariate early warning model framework, using data for 23 EU Members States from 1982 Q2 to...

This paper presents a stress test model for the CDS market, with a focus on the interplay between banks' bond and CDS holdings. The model enables the analysis of credit risk transfer mechanisms, includes features of market and liquidity risk, and allows for contagious propagation of counterparty...

The paper develops an early-warning model for predicting vulnerabilities leading to distress in European banks using both bank and country-level data. As outright bank failures have been rare in Europe, the paper introduces a novel dataset that complements bankruptcies and defaults with state...

We introduce a methodology to characterise financial cycles combining a novel multivariate spectral approach to identifying common cycle frequencies across a set of indicators, and a time varying aggregation emphasising systemic developments. The methodology is applied to 13 European Union...

We develop a framework to analyse the Credit Default Swaps (CDS) market as a network of risk transfers among counter-parties. From a theoretical perspective, we introduce the notion of flow-of-risk and provide sufficient conditions for a bow-tie network architecture to endogenously emerge as a...

This paper provides a unique snapshot of the exposures of EU banks to shadow banking entities within the global financial system. Drawing on a rich and novel dataset, the paper documents the cross-sector and cross-border linkages and considers which are the most relevant for systemic risk...

We demonstrate that financial cycles (identified as common fluctuations in credit and asset prices, proxying balance-sheet leverage) strongly differ across countries, e.g., in duration. This is contradictory to a similar duration assumption inherent in prevalent proxies of financial cycles, such...

We reappraise the relationship between productivity and equilibrium real exchange rates using a panel estimation framework that incorporates a large number of countries and importantly, a dataset that allows explicit consideration of the role of non-traded, as well as traded, sector productivity...

Due to the emergence of global production networks, trade statistics have became less accurate in describing the dependence of emerging Asia on external demand. This paper analyses, using an update of the Asian International Input-Output (AIO) table, the interdependence of emerging Asian...