This thesis is composed by three chapters. The first chapter examines how cross-country spillovers in the Euro Area affect the risk-taking channel of monetary policy. Our empirical evidence suggests that the impact of monetary surprises on systemic risk changes after the period of the Zero Lower Bound, and that a significant fraction of the response can be attributed to the high degree of financial contagion in the Euro Area. Chapter two focuses on the
systemic risk in the real estate sector and its determinants. We find that sustainable house prices positively contribute to the stability of the financial sector; whilst house price exuberance and rapid increases in housing unaffordability amplify systemic risk. In the third chapter, we explore the non-linearities in the impact of a housing demand shock on the macro-financial
environment. In periods of housing stress, an unexpected drop in house prices leads to a decline in consumption and financial instability while on the contrary, the impact is weaker under normal times.