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ESRB Working Paper Series

From European Systemic Risk Board
60640 Frankfurt am Main, Germany.
Contact information at EDIRC.

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126: Synthetic Leverage and Fund Risk-Taking Downloads
Daniel Fricke
125: Determinants of the credit cycle: a flow analysis of the extensive margin Downloads
Vincenzo Cuciniello and Nicola di Iasio
124: A Multi-level Network Approach to Spillovers Analysis: An Application to the Maltese Domestic Investment Funds Sector Downloads
Francesco Meglioli and Stephanie Gauci
123: Risky mortgages, credit shocks and cross-border spillovers Downloads
Alejandro Buesa, Alicia de Quinto and Francisco Javier Población García
122: Measuring the impact of a bank failure on the real economy: an EU-wide analytical framework Downloads
Valerio Vacca, Fabian Bichlmeier, Paolo Biraschi, Natalie Boschi, Antonio J. Bravo Álvarez, Luciano Di Primio, André Ebner, Silvia Hoeretzeder, Elisa Llorente Ballesteros, Claudia Miani, Giacomo Ricci, Raffaele Santioni, Stefan Schellerer and Hanna Westman
121: Resolving mortgage distress after COVID-19: some lessons from the last crisis Downloads
Fergal McCann and O’Malley, Terry
120: A quantitative analysis of the countercyclical capital buffer Downloads
Miguel Faria-e-Castro
119: Investment funds, monetary policy, and the global financial cycle Downloads
Christoph Kaufmann
118: The impact of macroprudential policies on capital flows in CESEE Downloads
Markus Eller, Niko Hauzenberger, Florian Huber, Helene Schuberth and Lukas Vashold
117: The importance of technology in banking during a crisis Downloads
Yannick Timmer and Niccola Pierri
116: Procyclical asset management and bond risk premia Downloads
Alexandru Barbu, Christoph Fricke and Emanuel Moench
115: Cross-border credit derivatives linkages Downloads
Benedetta Bianchi
114: Financial crises, macroprudential policy and the reliability of credit-to-GDP gaps Downloads
Piergiorgio Alessandri, Pierluigi Bologna and Maddalena Galardo
113: Financial stability policies and bank lending: quasi-experimental evidence from Federal Reserve interventions in 1920-21 Downloads
Kilian Rieder
112: Retrenchment of euro area banks and international banking models Downloads
Isabel Argimon, Elena Fernández Ortiz and Maria Rodriguez-Moreno
111: Debt holder monitoring and implicit guarantees: did the BRRD improve market discipline? Downloads
Jannic Alexander Cutura
110: Gap-filling government debt maturity choice Downloads
Frederik Eidam
109: A dynamic network model to measure exposure diversification in the Austrian interbank market Downloads
Juraj Hledik and Riccardo Rastelli
108: The network of firms implied by the news Downloads
Hannan Zheng and Gustavo Schwenkler
107: Regulating financial networks under uncertainty Downloads
Carlos Ramírez
106: Electoral cycles in macroprudential regulation Downloads
Karsten Müller
105: Shadow banking and financial stability under limited deposit insurance Downloads
Lukas Voellmy
104: The effects of capital requirements on good and bad risk-taking Downloads
N. Aaron Pancost and Roberto Robatto
103: Interactions between bank levies and corporate taxes: How is the bank leverage affected? Downloads
Franziska Bremus, Kirsten Schmidt and Lena Tonzer
102: Exposition, climax, denouement: Life-cycle evaluation of the recent financial crisis in the EU by linking the ESRB financial crisis database to the European Commission's Macroeconomic Imbalance Procedure Scoreboard Downloads
Szilárd Erhart
101: Macroprudential policy spillovers and international banking - Taking the gravity approach Downloads
Anni Norring
100: Fire-sales in frozen markets Downloads
Ehsan Ebrahimy
99: Securisation special purpose entities, bank sponsors and derivatives Downloads
Paweł Fiedor and Neill Killeen
98: Bank asset quality and monetary policy pass-through Downloads
Robert Kelly and David Byrne
97: Rethinking capital regulation: the case for a dividend prudential target Downloads
Manuel A. Muñoz
96: Optimally solving banks’ legacy problems Downloads
Anatoli Segura and Javier Suarez
95: Use of credit default swaps by UCITS funds: evidence from EU regulatory data Downloads
Claudia Guagliano, Julien Mazzacurati, Oisin Kenny and Achim Braunsteffer
94: Do information contagion and business model similarities explain bank credit risk commonalities? Downloads
Dieter Wang, Iman Lelyveld and Julia Schaumburg
93: Bank capital forbearance Downloads
Natalya Martynova, Enrico Perotti and Javier Suarez
92: The cyclicality in SICR: mortgage modelling under IFRS 9 Downloads
Edward Gaffney and Fergal McCann
91: Has regulatory capital made banks safer? Skin in the game vs moral hazard Downloads
Ernest Dautovic
90: Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis Downloads
Rebekka Buse, Melanie Schienle and Jörg Urban
89: The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios Downloads
Ben Craig, Margherita Giuzio and Sandra Paterlini
88: What drives sovereign debt portfolios of banks in a crisis context? Downloads
Matías Lamas and Javier Mencia
87: Pockets of risk in European housing markets: then and now Downloads
Jane Kelly, Julia Le Blanc and Reamonn Lydon
86: Systemic illiquidity in the interbank network Downloads
Sam Langfield, Zijun Liu, Tomohiro Ota and Gerardo Ferrara
85: Structural credit ratios Downloads
Benedetta Bianchi
84: Reconstructing and stress testing credit networks Downloads
Amanah Ramadiah, Fabio Caccioli and Daniel Fricke
83: Bank resolution and public backstop in an asymmetric banking union Downloads
Anatoli Segura and Sergio Vicente
82: A profit-to-provisioning approach to setting the countercyclical capital buffer: the Czech example Downloads
Lukáš Pfeifer and Martin Hodula
81: The role of contagion in the transmission of financial stress Downloads
Miguel C. Herculano
80: Implications of macroeconomic volatility in the Euro area Downloads
Niko Hauzenberger, Maximilian Böck, Michael Pfarrhofer, Anna Stelzer and Gregor Zens
79: Lending standards and output growth Downloads
Divya Kirti
78: Analyzing credit risk transmission to the non-financial sector in Europe: a network approach Downloads
Christian Gross and Pierre Siklos
77: Cyclical investment behavior across financial institutions Downloads
Yannick Timmer
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