overexposure was resilient to the euro area crisis. Moreover, we show that institutions at home are important to explain exposure …This paper investigates whether global investors are over or under exposed towards the euro area and the role of home …, euro area investors - in particular those from euro area low-rating economies - are overexposed to euro area securities …

data for the euro area, the US and the UK, we show that one can improve the forecasts of stock returns using a model … averaging approach, and there is a large amount of model uncertainty. The empirical evidence for the euro area suggests that …

the euro area. Equally importantly, economies with a weaker track record in terms of economic and institutional quality …

In the paper we investigate the empirical features of euro area money market turbulence during the recent financial … crisis. By means of a novel Fractionally Integrated Heteroskedastic Factor Vector Autoregressive model, we find evidence of a … factors, of the long memory type, bearing the interpretation of curvature and slope factors. The unfolding of the crisis …

This paper provides a comprehensive analysis of the interest rate pass-through of euro area monetary policy to retail … rates outside the euro area, contributing to the literature on the consequences of unofficial financial euroisation and on … all euro retail rates in euroised countries of central, eastern and south-eastern Europe (CESEE) are linked to the euro …

Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity … portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining … transmission of the crisis to the extent of global exposure. Instead, we confirm the old “wake-up call” hypothesis, with markets …

periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … in individual euro area countries using a time-varying model. Using the reduced form results, we show decoupling of …