The objective of this study is to provide a new evidence on time-varying equity market integration, employing alternative econometric specifications of the conditional covariance process. Differently from the current literature on the topic, we specify alternative econometric models for the...

This report provides empirical evidence on the relationship between financial development and economic growth in the European Union and the Euro area. Results indicate that the type of financing fund receiver matters in the financial depth-growth link.

The last financial crisis has shown that large banking crises pose a highly dangerous risk to both the real economy and public finances. Reducing that risk has become a priority for regulators and governments, but the debate on how to deal with it remains open. Contagion plays a key role: domino...

The recent financial crisis has highlighted the risks posed by individual banks to the entire banking system. Next to the issue of determining individual contributions to systemic risk, the question of additional taxes on the financial sector has been debated. This paper uses SYMBOL, a...

The main lesson learned from the recent financial crisis is the crucial role of interconnectedness between banks as a factor that can push the effects of bank defaults to extreme levels. One bank in distress can compromise the ability to repay obligations of its creditor banks, thereby inducing...

We compute three possible measures based on the sensitivity of domestic European stock (sovereign bond) markets to global, US or European shocks. The common rationale is to measure the extent to which domestic stock (bond) market volatility incorporates external shocks, following the idea that...

This paper shows how securitization changes the linkages and the systemic risks in the regulated and unregulated "shadow" banking system. The theoretical framework includes an analysis of the transfer of idiosyncratic, systematic and systemic risks and the use of the proceeds from the transfer....

The European Crisis Management Laboratory (ECML) does research and development in support of EU crisis preparedness and response policy. It fosters the use of science in situational awareness, adding value to the routine context analysis and operational activities of the EU's Emergency Response...

This paper aims at investigating some of the critical issues highlighted by the sovereign debt crisis in European Union (EU) Member States (MS). The goal is twofold: 1) Quantify the increase in the risks of the EU banking systems due to haircuts of sovereign debts of some EU Member States, which...

This paper aims at investigating some of the critical issues highlighted by the sovereign debt crisis in European Union (EU) Member States (MS). The goal is twofold: 1) Quantify the increase in the risks of the EU banking systems due to haircuts of sovereign debts of some EU Member States, which...