systems, we find that following a liquidity funding shock, both credit and GDP decline in different amounts and lengths. GDP … and the negative effects from the shock last longer than in core countries. Banks' funding seems to play a relevant role …

economy, namely a demand shock and a shock to bank capital. The main findings of the paper are as follows: i) Impulse …-response analysis shows that in response to a shock to bank capital, banks boost capital ratios by reducing their relative exposure to …) Historical shock decomposition analysis shows that bank capital shocks have contributed to increasing capital ratios since the …

risk. An adverse supply shock leads to a deterioration of firms' riskiness 10 per cent above the average PD. Contractionary …

We study the effect of a (standard) monetary policy shock in the euro area on the Lithuanian economy. We employ a … exogenous structure to account for the fact that Lithuania is a small economy. In general, we find that a monetary policy shock …