This paper studies the determinants of the euro exchange rate during the European sovereign debt crisis, allowing a … role for macroeconomic fundamentals, policy actions and the public debate by policy makers. It finds that the euro exchange …

The paper proposes a framework for assessing the impact of system-wide and bank-level capital buffers. The assessment … rests on a factor-augmented vector autoregression (FAVAR) model that relates individual bank adjustments to macroeconomic … dynamics. We estimate FAVAR models individually for eleven euro area economies and identify structural shocks, which allow us …

During the sovereign debt crisis investors rebalanced out of stressed and into non-stressed euro area countries …, thereby contributing to the tensions in euro area financial markets. This paper examines the geographical pattern of this … great rebalancing. Specifically, we test whether euro area and non-euro area investors adjusted their holdings of debt …

is not fueled by Central Bank liquidity provision. Our results point to a “moral suasion” mechanism, and cannot be …

This paper documents stress in the unsecured overnight interbank market in the euro area over the course of the … to the fragmentation of the euro area money market. A triple-difference estimate shows that the borrowing of banks in the … information problems in crisis times. We exploit euro area payments data to construct a novel dataset of interbank lending and …

dispersion in the cost of bank finance for euro area firms. Using micro-level bank data across a number of euro area countries …, we identify individual bank balance sheet characteristics that contributed to this fragmentation. Interest rate pass … structures. Results show incomplete pass-through of changes in money market rates targeted by the central bank to firms' lending …

Since the intensification of the crisis in September 2008, all euro area long-term government bond yields relative to … from Greece. Specifically, higher risk aversion has increased the demand for the Bund and this is behind the pricing of all … euro area spreads, including those for Austria, Finland and the Netherlands. Country-specific credit ratings have played a …

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

We study the impact of higher bank capital buffers, namely of the Other Systemically Important Institutions (O …

This paper is an event study focusing on the global effects of the euro debt crisis in 2010-2013. After identifying 18 … advanced and 13 emerging countries. The main effect of euro debt crisis events is a rise in global risk aversion accompanied by …