regulation, recovery and resolution, and risk culture. …

We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European … information release bank equity prices in stressed countries declined. Surprisingly, bank risk in stressed countries was not … co-movement between sovereign and bank risk increased. This suggests that market participants perceived that bank risk is …

sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and … Markets Programme and the Outright Monetary Transactions are found to be effective in affecting the perceived sovereign risk …

We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank … generated beneficial risk spill-overs across monetary policy operations, causing overall risk to be nonlinear in exposures. Some …