Using regionally disaggregated data on economic activity, we show that risk sharing plays a key role in shaping the … real effects of monetary policy. With weak risk sharing, monetary policy shocks trigger a strong and durable response in … output. With strong risk sharing, the response is attenuated, and output reverts to its initial level over the medium term …

, or "uncertainty shocks", are an important model ingredient. First, they account for countercyclical movements in risk … changes in both risk-premia and expected future real rates, uncertainty shocks account for about 1/2 of the variance of long …

In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a … credit risk model - based on publicly available information - with the aim of developing a tool to monitor credit risk in a … sample of large and complex banking groups (LCBGs) in the EU. The results indicate varying credit risk profiles across these …

response to un-certainty shocks, firms increase their markups, in line with the theory of self-insurance against being stuck …

eurozone. My results also suggest that these shocks are a plausible source of aggregate risk that could explain business cycle …