1. High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks. (2024). Pfarrhofer, Michael ; Stelzer, Anna.
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2. How have the European central bank’s monetary policies been affecting financial markets in CEE-3 countries?. (2021). Grabowski, Wojciech ; Stawasz-Grabowska, Ewa.
   In: Eurasian Economic Review.
   RePEc:spr:eurase:v:11:y:2021:i:1:d:10.1007_s40822-020-00160-3.

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3. Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment. (2020). Tondl, Gabriele ; Feldkircher, Martin.
   In: International Advances in Economic Research.
   RePEc:kap:iaecre:v:26:y:2020:i:3:d:10.1007_s11294-020-09792-2.

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4. BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R. (2020). Huber, Florian ; Feldkircher, Martin ; Boeck, Maximilian ; Bock, Maximilian.
   In: Globalization Institute Working Papers.
   RePEc:fip:feddgw:88639.

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5. Who’s afraid of euro area monetary tightening? CESEE shouldn’t. (2020). Schuler, Tobias ; Moder, Isabella ; Geis, Andre.
   In: Working Paper Series.
   RePEc:ecb:ecbwps:20202416.

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6. Does a Big Bazooka Matter? Quantitative Easing Policies and Exchange Rates. (2020). Mehl, Arnaud ; Gräb, Johannes ; Georgiadis, Georgios ; Dedola, Luca ; Grab, Johannes.
   In: CEPR Discussion Papers.
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7. Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment. (2019). Tondl, Gabriele ; Feldkircher, Martin ; Lukmanova, Elizaveta.
   In: Department of Economics Working Paper Series.
   RePEc:wiw:wus005:7090.

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8. Effects of the ECBs Unconventional Monetary Policy on Real and Financial Wealth. (2019). Poyntner, Philipp ; Feldkircher, Martin ; Schuberth, Helene.
   In: Department of Economics Working Paper Series.
   RePEc:wiw:wus005:7040.

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9. Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment. (2019). Tondl, Gabriele ; Feldkircher, Martin ; Lukmanova, Elizaveta.
   In: Department of Economics Working Papers.
   RePEc:wiw:wiwwuw:wuwp289.

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10. Effects of the ECB’s Unconventional Monetary Policy on Real and Financial Wealth. (2019). Poyntner, Philipp ; Feldkircher, Martin ; Schuberth, Helene ; de Luigi, Clara.
    In: Department of Economics Working Papers.
    RePEc:wiw:wiwwuw:wuwp286.

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11. Do SVARs with Sign Restrictions Not Identify Unconventional Monetary Policy Shocks?. (2019). Peersman, Gert ; Hofmann, Boris ; Galesi, Alessandro ; Dossche, Maarten ; Boeckx, Jef.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:19/973.

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12. Global inflation dynamics and inflation expectations. (2019). Siklos, Pierre ; Feldkircher, Martin.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:64:y:2019:i:c:p:217-241.

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13. Do SVARs with sign restrictions not identify unconventional monetary policy shocks?. (2019). Peersman, Gert ; Hofmann, Boris ; Galesi, Alessandro ; Dossche, Maarten ; Boeckx, Jef.
    In: BIS Working Papers.
    RePEc:bis:biswps:788.

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1. Acharya VV, Eisert T, Eufinger C and Hirsch CW (2017) Whatever it Takes: The Real Effects of Unconventional Monetary Policy. Working Paper 152, SAFE Working Paper [7] Altavilla C, Giannone D and Lenza M (2016) The Financial and Macroeconomic Effects of OMT Announcements.

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8. Posterior simulation is carried out by sampling from the N + 1 country-specific posterior distributions in parallel. The MCMC algorithm is standard in the literature for VAR models. Specifically, we sample Ci on an equation-by-equation basis (for details, see Carriero et al., 2019) from an multivariate normal distribution.
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9. Since prior information on inclusion/exclusion of a given covariance parameter is rather scarce, we again adopt a Bernoulli prior with prior inclusion probability set to qij,n = Prob(κij,n = 1) = 1/2, κij,n ∼ Bernoulli(qij,n). (16) We follow Kastner and Frühwirth-Schnatter (2014) and impose a normally distributed prior on ij ∼ N (0, 102), a Beta distributed prior on ρi j +1 2 ∼ B(25, 5) and a Gamma prior on ς2 ij ∼ G(1/2, 1/2). As mentioned in Section 2.2, our model collapses to a homoscedastic GVAR model if ς2 ij equals zero. The Gamma prior on ς2 ij is equivalent to imposing a normally distributed prior on ςij, ς2 ij ∼ G(1/2, 1/2) ⇔ ςij ∼ N (0, 1). (17) This prior centers ςij on zero, if necessary and thus softly shrinks the model toward a homoscedastic specification.
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10. The free elements of Ui can be simulated by noting that the system can be rewritten as a set of ki univariate regression models with standard normally distributed errors (see Cogley et al., 2005). The log-volatilities and the parameters of the state equation Eq. (5) are simulated by means of the algorithm stipulated in Kastner and Frühwirth-Schnatter (2014) and implemented in the R package stochvol (Kastner, 2016). The indicator variables δij and κij,n are sampled from their Bernoulli distributed conditional posterior distributions.For further information on the specific posterior moments, see Feldkircher and Huber (2016). Finally, we specify the remaining hyperparameters for the prior. More specifically, following George et al.
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1. Optimal Credit, Monetary, and Fiscal Policy under Occasional Financial Frictions and the Zero Lower Bound. (2022). Jiang, Shifu.
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2. A note of caution on quantifying banks recapitalization effects. (2021). Tonzer, Lena ; Schmidt, Kirsten ; Noth, Felix.
   In: Discussion Papers.
   RePEc:zbw:bubdps:022021.

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3. Sovereign spreads in the Euro area: Cross border transmission and macroeconomic implications. (2020). Bahaj, Saleem.
   In: Journal of Monetary Economics.
   RePEc:eee:moneco:v:110:y:2020:i:c:p:116-135.

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4. International effects of a compression of euro area yield curves. (2020). Huber, Florian ; Feldkircher, Martin ; Gruber, Thomas.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:113:y:2020:i:c:s037842661930072x.

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5. Monetary policy and bank stability: the analytical toolbox reviewed. (2020). Popov, Alexander ; Marques-Ibanez, David ; Albertazzi, Ugo ; Vlassopoulos, Thomas ; Barbiero, Francesca ; Marques-Ibaez, David ; Dacri, Costanza Rodriguez.
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6. Unconventional economic policies and sentiment: An international assessment. (2020). Gimet, Céline ; Gagnon, Mariehelene.
   In: The World Economy.
   RePEc:bla:worlde:v:43:y:2020:i:6:p:1544-1591.

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7. Zombie lending: how many wondering souls are there?. (2020). Lluberas, Rodrigo ; Rodriguez-Tous, Francesc ; Dassatti, Cecilia.
   In: Documentos de trabajo.
   RePEc:bku:doctra:2020003.

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8. Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area. (2019). Rieth, Malte ; Fratzscher, Marcel.
   In: EconStor Open Access Articles and Book Chapters.
   RePEc:zbw:espost:223020.

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9. International effects of a compression of euro area yield curves. (2019). Huber, Florian ; Feldkircher, Martin ; Florian, Huber ; Thomas, Gruber.
   In: Working Papers in Economics.
   RePEc:ris:sbgwpe:2019_001.

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10. Quantitative Lockerung in der Eurozone und Finanzierungs­bedingungen von KMU: Wer profitiert am meisten?. (2019). Funk, Anne Kathrin.
    In: KOF Analysen.
    RePEc:kof:anskof:v:13:y:2019:i:1:p:82-91.

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11. Quantitative easing in the euro area and SMEs access to finance: Who benefits the most?. (2019). Funk, Anne Kathrin.
    In: IHEID Working Papers.
    RePEc:gii:giihei:heidwp02-2019.

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12. Do bank liquidity shocks hamper firms’ innovation?. (2019). Manole, Vlad ; Spatareanu, Mariana ; Kabiri, Ali.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:116931.

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13. Identifying credit supply shocks with bank-firm data: Methods and applications. (2019). Schepens, Glenn ; Mulier, Klaas ; Degryse, Hans ; De Jonghe, Olivier ; Jakovljevi, Sanja.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:40:y:2019:i:c:s1042957319300154.

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14. A capital structure channel of monetary policy. (2019). Streitz, Daniel ; Steffen, Sascha ; Grosse-Rueschkamp, Benjamin.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:133:y:2019:i:2:p:357-378.

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15. Unfinished business: Zombie firms among SME in Japan’s lost decades. (2019). Goto, Yasuo ; Wilbur, Scott.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:49:y:2019:i:c:p:105-112.

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16. Do bank liquidity shocks hamper firms’ innovation?. (2019). Spatareanu, Mariana ; Manole, Vlad ; Kabiri, Ali.
    In: International Journal of Industrial Organization.
    RePEc:eee:indorg:v:67:y:2019:i:c:s0167718719300426.

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17. The CSPP at work: Yield heterogeneity and the portfolio rebalancing channel. (2019). Zaghini, Andrea.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:56:y:2019:i:c:p:282-297.

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18. The architecture of supervision. (2019). Maddaloni, Angela ; Marques-Ibanez, David ; leonello, agnese ; Colliard, Jean-Edouard ; Beck, Thorsten ; Beyer, Andreas ; Ampudia, Miguel ; Marques-Ibaez, David.
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19. Whatever it takes: what’s the impact of a major nonconventional monetary policy intervention?. (2019). Sapriza, Horacio ; Marques-Ibanez, David ; Cuadra, Gabriel ; Claessens, Stijn ; Alcaraz Pribaz, Carlo ; Marques-Ibaez, David.
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20. Breaking the shackles: Zombie firms, weak banks and depressed restructuring in Europe. (2019). Petroulakis, Filippos ; Andrews, Dan.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20192240.

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21. Monetary policy, credit institutions and the bank lending channel in the euro area. (2019). Boucinha, Miguel ; Altavilla, Carlo ; Holton, Sarah ; Andreeva, Desislava C.
    In: Occasional Paper Series.
    RePEc:ecb:ecbops:2019222.

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22. China’s overinvestment and international trade conflict. (2019). Schnabl, Gunther.
    In: CESifo Working Paper Series.
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23. Unintended side effects: stress tests, entrepreneurship, and innovation. (2019). Doerr, Sebastian.
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    RePEc:bis:biswps:823.

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24. Central bank-driven mispricing. (2018). Tomio, Davide ; Pelizzon, Loriana ; Uno, Jun ; Subrahmanyam, Marti G.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:226.

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25. Cyclical investment behavior across financial institutions. (2018). Timmer, Yannick.
    In: ESRB Working Paper Series.
    RePEc:srk:srkwps:201877.

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26. When losses turn into loans: the cost of undercapitalized banks. (2018). Blattner, Laura ; Farinha, Luisa ; Rebelo, Francisca.
    In: Working Papers.
    RePEc:ptu:wpaper:w201816.

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27. Fear the walking dead: zombie firms, spillovers and exit barriers. (2018). Osterhold, Christian ; Gouveia, Ana Fontoura.
    In: Working Papers.
    RePEc:ptu:wpaper:w201811.

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28. Identifying credit supply shocks with bank-firm data: methods and applications. (2018). Schepens, Glenn ; Mulier, Klaas ; Degryse, Hans ; De Jonghe, Olivier ; Jakovljevic, Sanja.
    In: Working Paper Research.
    RePEc:nbb:reswpp:201810-347.

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29. Quantitative easing in the euro area and SMEs’ access to finance: Who benefits the most?. (2018). Funk, Anne Kathrin.
    In: KOF Working papers.
    RePEc:kof:wpskof:18-447.

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30. Evergreening in the Euro Area: Facts and Explanation. (2018). Westermann, Frank ; Steinkamp, Sven ; Tornell, Aaron.
    In: IEER Working Papers.
    RePEc:iee:wpaper:wp0113.

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31. Corporate debt and investment: A firm-level analysis for stressed euro area countries. (2018). Setzer, Ralph ; Gebauer, Stefan ; Westphal, Andreas.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:86:y:2018:i:c:p:112-130.

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32. Cyclical investment behavior across financial institutions. (2018). Timmer, Yannick.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:129:y:2018:i:2:p:268-286.

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33. Basel III: Effects of capital and liquidity regulations on European bank lending. (2018). Roulet, Caroline.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:95:y:2018:i:c:p:26-46.

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34. Basel III and bank-lending: Evidence from the United States and Europe. (2018). Ben Naceur, Sami ; Marton, Katherin ; Roulet, Caroline.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:39:y:2018:i:c:p:1-27.

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35. The effects of interbank networks on efficiency and stability in a macroeconomic agent-based model. (2018). Iori, Giulia ; Gurgone, Andrea ; Jafarey, Saqib.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:91:y:2018:i:c:p:257-288.

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36. The first twenty years of the European Central Bank: monetary policy. (2018). Smets, Frank ; Hartmann, Philipp.
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37. Credit supply and demand in unconventional times. (2018). Ongena, Steven ; Boucinha, Miguel ; Altavilla, Carlo ; Holton, Sarah.
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38. Life below zero: bank lending under negative policy rates. (2018). Schepens, Glenn ; Heider, Florian ; Saidi, Farzad.
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39. The natural rate of interest: estimates, drivers, and challenges to monetary policy JEL Classification: E52, E43. (2018). Penalver, Adrian ; Brand, Claus ; Bielecki, Marcin.
    In: Occasional Paper Series.
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40. Life below zero: Bank lending under negative policy rates. (2018). Schepens, Glenn ; Heider, Florian ; Saidi, Farzad.
    In: CEPR Discussion Papers.
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41. Monetary Policy, Privileges and Economic Development: Ordoliberal Lessons for the EMU. (2018). Duarte, Pablo ; Pablo, Duarte.
    In: ORDO. Jahrbuch für die Ordnung von Wirtschaft und Gesellschaft.
    RePEc:bpj:ordojb:v:69:y:2018:i:1:p:135-152:n:9.

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42. Getting better? The effect of the single supervisory mechanism on banks loan loss reporting and loan loss reserves. (2018). Ristolainen, Kim.
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    RePEc:bof:bofrdp:2018_011.

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43. Whatever it takes. Whats the impact of a major nonconventional monetary policy intervention?. (2018). Sapriza, Horacio ; Marques-Ibanez, David ; Cuadra, Gabriel ; Claessens, Stijn ; Alcaraz Pribaz, Carlo.
    In: BIS Working Papers.
    RePEc:bis:biswps:749.

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44. Is Monetary Policy Less Effective When Interest Rates Are Persistently Low?. (2017). Borio, Claudio ; Hofmann, Boris.
    In: RBA Annual Conference Volume (Discontinued).
    RePEc:rba:rbaacv:acv2017-04.

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45. Breaking the Shackles: Zombie Firms, Weak Banks and Depressed Restructuring in Europe. (2017). Petroulakis, Filippos ; Andrews, Dan.
    In: OECD Economics Department Working Papers.
    RePEc:oec:ecoaaa:1433-en.

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46. When Losses Turn Into Loans: The Cost of Undercapitalized Banks. (2017). Blattner, Laura ; Farinha, Luisa ; Rebelo, Francisca.
    In: 2017 Papers.
    RePEc:jmp:jm2017:pbl215.

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47. The Euro Area’s Common Pool Problem Revisited: Has the Single Supervisory Mechanism Ameliorated Forbearance and Evergreening?. (2017). Westermann, Frank ; Steinkamp, Sven ; Tornell, Aaron.
    In: IEER Working Papers.
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48. Efficiency among Japanese SMEs: In the context of the zombie firm hypothesis and firm size. (2017). Wilbur, Scott ; Yasuo, Goto.
    In: Discussion papers.
    RePEc:eti:dpaper:17123.

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49. The Euro Areas Common Pool Problem Revisited: Has the Single Supervisory Mechanism Ameliorated Forbearance and Evergreening. (2017). Westermann, Frank ; Steinkamp, Sven ; Tornell, Aaron.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_6670.

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50. Making room for the needy: the credit-reallocation effects of the ECB’s corporate QE. (2017). Mayordomo, Sergio ; Gimeno, Ricardo ; Arce, Oscar.
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