Distributional Linkages between European Sovereign Bond and Bank Asset Returns
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- Jorge E. Galán, 2020. "The benefits are at the tail: uncovering the impact of macroprudential policy on growth-at-risk," Working Papers 2007, Banco de España.
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More about this item
Keywords
Quantile regressions; nonlinear dependence; counterfactual analyses; systemic risk.;All these keywords.
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2015-10-25 (Banking)
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