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 …

The US economy is currently experiencing a period of signifi-cant financial stress. This
stress has contributed to the downturn in the economy by boosting the cost of credit and …

We derive a measure of aggregate systemic risk, designated CATFIN, that complements
bank-specific systemic risk measures by forecasting macroeconomic downturns six months …

A central proposition in research on the role of banks in the transmission mechanism is that
monetary policy imparts a direct impact on deposits and that deposits act as the driving force …

Over the last decade or so, addressing financial instability has become a policy priority.
Despite the efforts made, policymakers are still a long way from developing a satisfactory …

This study examines the financial connectedness and risk transmission among MENA
economies by accounting for financial connectedness in the short and long run as well …

Growing complexity and episodic turmoil in the financial system call for reassessment of
existing early warning systems (EWSs) for systemic risk. This paper critically reviews the …

We develop a DSGE model with a heterogeneous banking sector. We introduce
endogenous default probabilities for both firms and banks, and allow for bank regulation and …

We provide both a theoretical framework and empirical results for the relationship between
CO 2 emissions and systemic risk in the US Based on a modified structural distance-to …

Utilising a novel empirical approach and an extensive sample of listed European banks, we
identify which bank characteristics offer a shelter from systemic shocks and compare the …