' sovereign exposures and their effects during and after the crisis. First, public, bailed out and poorly capitalized banks …

. Theoretically, regime-switching models are able to capture rational expectations of infrequently occurring discrete events …

study of both non-crisis and crisis episodes, including trends and bursts in spillovers, and both turn out to be empirically …

incidence of a currency crisis. In the Russian crisis, the common bank lender helps to predict the incidence of contagion but … may be more important in explaining contagion than similarities in macro-economic fundamentals and even than trade …This paper presents evidence that spillovers through shifts in bank lending can help explain the pattern of contagion …

Crisis. It identifies the channel through which risks in the financial industry leaked into the public sector. It discusses … the role of the bank rescues in igniting the sovereign debt crisis and reviews approaches to detect early warning signals …

factors. We account for interdependencies between sovereign and bank CDS spreads and we derive generalised impulse response … transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four …) vice-versa. We highlight the impact of policy-related events along the different components of the contagion index. The …

We investigate the transmission of central bank liquidity to bank deposits and loan spreads in Europe over the January … liquidity does not translate into lower loan spreads for high-risk banks, even as it lowers deposit rates for both high-risk and …