Fanelli, Luca; Marsi, Antonio - 2022
shock, we consider a third shock, labelled `spread shock', resulting from the ECB management of fragmentation risk in the … systemic risk and financial distress is non-negligible and aligns with the idea that the ECB stabilizes fragmentation risk … unconventional monetary policy shocks along with an `information shock'. In this paper we show that HF surprises in the Euro Area …