We document that a large yield spread, a basis, developed between USD- and EUR-denominated comparable bonds issued by the same euro area country over the 2008 – 2013 period. We find evidence that the basis varies over time, depending on liquidity withdrawn by strongly-constrained banks from...

We document that a large yield spread, a basis, developed between USD- and EUR-denominated comparable bonds issued by the same euro area country over the 2008-2013 period. We find evidence that the basis varies over time, depending on liquidity withdrawn by strongly-constrained banks from the...

Using data for a large sample of banks from 31 OECD countries over 1995–2018, we analyze the impact of belonging to a banking group on banks' net interest margins. Our results confirm a positive relationship between interest rates and interest margins, which is stronger in a low-interest rate...

This study presents robust empirical evidence suggesting the existence of significant liquidity commonalities in the corporate Credit Default Swap (CDS) market. Using daily data for 438 firms from 25 countries in the period 2005-2012 we find that these commonalities vary over time, being...

This paper estimates and compares two groups of high-frequency market-based systemic risk measures from 2004 to 2009 using European and US data of interbank rates, stock prices and credit derivatives both at aggregate market level as well as the individual bank level. The former group of...

This paper studies the impact of the banks' portfolio holdings of financial derivatives on the banks' individual contribution to systemic risk over and above the effect of variables related to size, interconnectedness, substitutability, and other balance sheet information. Using a sample of 95...