well as a central bank is used. Banks optimize a portfolio of risky investments and risk-free excess reserves according to … deposits. Contagion effects from the default of a large bank are studied in different network topologies. The results indicate … the central bank is not active in which case small-world networks are less stable than scale-free and random networks. It …

factors. We account for interdependencies between sovereign and bank CDS spreads and we derive generalised impulse response … or country-specific bank index to other sovereign or bank CDSs between October 2009 and July 2012. Channels of …

bank activity has on interbank markets. In our model, banks optimize a portfolio of risky investments and riskless excess … household deposits. We then introduce a central bank into the model and show that central bank activity enhances financial … stability. We model the default of a large bank and analyse the resulting contagion effects. This is compared to a common shock …

This paper investigates how monetary policy interventions by the European Central Bank and the Federal Reserve affect … the stock market perception of bank systemic risk. In a first step, we identify monetary policy shocks using a structural …-based measures of bank systemic risk. Our sample includes information on both Euro Area and U.S. listed banks, covering a sample …