Credit is a crucial instrument in asset price determination, yet existing research has produced conflicting evidence on its real impact, especially during episodes of heightened uncertainty. This paper develops a framework to show that by segregating credit into credit to the real economy and...

The financial crisis brought to light weakness in the assessments of risks and vulnerabilities in banks. Consequently, an insight into how the ownership structure of a bank affects investment decisions, performance and ultimately insolvency risk - the focus of this paper - is crucial. Our...

This paper investigates liquidity spillovers between the US and European interbank market during turbulent and tranquil periods. We show that an endogenous model with time-varying transition probabilities is effective in describing the propagation of liquidity shocks within the interbank market,...