Auray, Stéphane; Eyquem, Aurélien; Ma, Xiaofei - Centre de Recherche en Économie et Statistique … - 2014
We develop a two-country model with an explicitly microfounded interbank market and sovereign default risk. Calibrated to the Euro Area, the model performs satisfactorily in matching key business cycle facts on real, financial and fiscal time series. We then use the model to assess the effects...