We study price connectedness between the green bond and financial markets using a
structural vector autoregressive (VAR) model that captures direct and indirect transmission …

The role of non-financial sector market fluctuations such as the role of oil price uncertainty
either on financial stability or on policy-related economic uncertainty has not been …

This paper introduces a new indicator of contemporaneous stress in the financial system
named Composite Indicator of Systemic Stress (CISS). Its specific statistical design is …

This paper examines whether there is a volatility transmission between oil prices and
financial stress by means of the volatility spillover test. We employ WTI crude oil prices and …

We introduce a dynamic banking-macro model, which abstains from conventional mean-
reversion assumptions and in which—similar to Brunnermeier and Sannikov (2010) …

In the light of the global financial crisis and sovereign debt crisis, this paper investigates the
dependence patterns in 24 European equity markets from January 5, 2004 to July 1, 2016 …

In this paper, we measure the interdependence of three financial stress sub-indices
(banking, securities and foreign exchange) for the major advanced economies during the …

Before the subprime crisis, financial stability was a microprudential issue addressed by
capital regulation and unrelated to monetary policy. The financial crisis put this paradigm to …

This paper examines the interactions between the main US financial stress indices and
several measures of economic activity in the time–frequency domain using a number of …

This paper proposes a continuous wavelet transform causality method that dispenses with
minimum-phase spectral density matrix factorization. Extant methods based on minimum …