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On the interaction between market and credit risk: a factor-augmented vector autoregressive (FAVAR) approach

Fiori, Roberta; Iannotti, Simonetta - Banca d'Italia - 2010

The aim of the paper is to understand the interaction between market and credit risk. Using a comprehensive set of Italian data, we apply a factor model to identify the common sources of risk driving fluctuations in the real and financial sectors. The common latent factors are then inserted in a...

Persistent link: https://www.econbiz.de/10008692068

Modelling bank lending in the euro area: A non-linear approach

Gambacorta, Leonardo; Rossi, Carlotta - Banca d'Italia - 2007

This paper investigates possible non-linearities in the response of bank lending to monetary policy shocks in the euro … supports the existence of an asymmetric broad credit channel in the euro area. …

Persistent link: https://www.econbiz.de/10005111568

Financial shocks and the real economy in a nonlinear world: a survey of the theoretical and empirical literature

Silvestrini, Andrea; Zaghini, Andrea - Banca d'Italia - 2015

In this paper we present an overview of theoretical and empirical contributions exploring the inter-linkages between financial factors and real economic activity. We first revisit the main theoretical approaches that allow financial frictions to be embedded into general equilibrium models, and...

Persistent link: https://www.econbiz.de/10011171338

The macroeconomic effects of the sovereign debt crisis in the euro area

Neri, Stefano; Ropele, Tiziano - Banca d'Italia - 2015

This paper uses a Factor Augmented Vector Autoregressive model to assess the macroeconomic impact of the euro … to the core economies of the euro area through the trade and confidence channels. Second, "modest" (in the sense of …

Persistent link: https://www.econbiz.de/10011207928

Convergence clubs, the euro-area rank and the relationship between banking and real convergence

Affinito, Massimiliano - Banca d'Italia - 2011

of countries that have adopted the euro as a single currency (euro area). It compares the degree of banking and real … entire sample, and it is diversified across the clubs. Second, all methodologies confirm euro-area banking convergence. Third …

Persistent link: https://www.econbiz.de/10009144904