This paper investigates the interest rate pass-through in eight European countries and allows for a mark-up which can be affected by country specific funding conditions and/or stochastic structural breaks. In the Southern European countries of the sample the long-run pass-through is directly...

This paper investigates the interest rate pass-through in eight European countries analyzing their short-run and long-run monetary transmission mechanisms. We investigate the relationship between the Euribor and the long-run interest rate on loans to non-financial corporations and allow for a...

We investigate the time varying dynamics of the linkages between sovereign and bank default risks over the period 2006-2015, using the credit default swap (CDS) spreads of the bonds of major international banks and of sovereign issuers as indicators of risk within four major European countries....