Is Bank Portfolio Riskiness Procyclical? Evidence from Italy using a Vector Autoregression
Authors: | Marcucci, Juri ; Quagliariello, Mario |
---|---|
Institutions: | Department of Economics and Related Studies, University of York |
Subject: | First-round effect | procyclicality | feedback effects | VAR | banks | default rate |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C32 - Time-Series Models ; E30 - Prices, Business Fluctuations, and Cycles. General ; E32 - Business Fluctuations; Cycles ; E44 - Financial Markets and the Macroeconomy ; G28 - Government Policy and Regulation |
Source: |
-
Banks� Riskiness Over the Business Cicle: a Panel Analysis on Italian Intermediaries
Quagliariello, Mario, (2006)
-
States, Banks and the Financing of the Economy: Monetary Policy and Regulatory Perspectives
Danthine, Jean-Pierre,
-
States, Banks and the Financing of the Economy: Monetary Policy and Regulatory Perspectives
Balling, Morten, (2013)
- More ...
-
Macroeconomics Uncertainty and Banks' Lending Decisions: The Case of Italy
Quagliariello, Mario, (2006)
-
Banks' Performance over the Business Cycle: A Panel Analysis on Italian Intermediaries
Quagliariello, Mario,
-
Market and Supervisory Information: Some Evidence from Italian Banks
Cannata, Francesco,
- More ...