Let $S\neq\emptyset$ a set. Then $\bigcap S$ exists because it can be written in the form $\{x\in\bigcup S|x\in B~ \forall B\in S\}$ and we only have to use the axiom of union and Schema of Comprehension.
But what happens when $S=\emptyset$? Given that $\bigcup\emptyset=\emptyset$ then we'd have $\bigcap S=\{x\in\emptyset|x\in B~ \forall B\in\emptyset\}$. How do I prove that this set does not exist?