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...

Using 11 years of monthly Italian bank-by-bank data, this paper correlates the bilateral amounts and the identity of each interbank borrower and lender with a long list of explanatory variables. The results show that interbank customer relationships, i.e. stable and strong relationships between...