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Why do (or did?) banks securitize their loans? Evidence from Italy
Affinito, Massimiliano; Tagliaferri, Edoardo - Banca d'Italia - 2010
This paper investigates the ex-ante determinants of bank loan securitization by using different econometric methods on … Italian individual bank data from 2000 to 2006. Our results show that bank loan securitization is a composite decision. Banks … securitization, for a larger amount and earlier. …
Persistent link: https://www.econbiz.de/10008480534
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Securitization is not that evil after all
Albertazzi, Ugo; Eramo, Ginette; Gambacorta, Leonardo; … - Banca d'Italia - 2011
Europe. Information on over a million mortgages consists of loan-level variables, characteristics of the originating bank and …, most importantly, contractual features of the securitization deal, including the seniority structure of the ABSs issued by … suggests that banks can effectively counter the negative effects of asymmetric information in the securitization market by …
Persistent link: https://www.econbiz.de/10008867443
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The tax system and the financial crisis
Ceriani, Vieri; Manestra, Stefano; Ricotti, Giacomo; … - Banca d'Italia - 2011
may have contributed to the financial crisis by creating some of the raw materials for the securitization industry. Second … securitization process, which played a key role in the outbreak of the financial crisis, was accompanied by opportunities for tax …
Persistent link: https://www.econbiz.de/10008835086
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Shadow banks and macroeconomic instability
Meeks, Roland; Nelson, Benjamin; Alessandri, Piergiorgio - Banca d'Italia - 2013
securitization markets is relatively ineffective. …
Persistent link: https://www.econbiz.de/10011099651
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The interbank market after the financial turmoil: squeezing liquidity in a "lemons market" or asking liquidity "on tap"
Socio, Antonio De - Banca d'Italia - 2011
After August 2007 the plumbing system that supplied banks with wholesale funding, the interbank market, failed because toxic assets obstructed the pipes. Banks were forced to squeeze liquidity in a �lemons market� or to ask for liquidity �on tap� from central banks. This...
Persistent link: https://www.econbiz.de/10009320176
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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
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An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil
Cesare, Antonio Di; Guazzarotti, Giovanni - Banca d'Italia - 2010
This paper analyzes the determinants of credit default swap spread changes for a large sample of US non-financial companies over the period between January 2002 and March 2009. In our analysis we use variables that the literature has found have an impact on CDS spreads and, in order to account...
Persistent link: https://www.econbiz.de/10008626020
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Dynamic provisioning: rationale, functioning, and prudential treatment
Burroni, Marco; Quagliariello, Mario; Sabatini, Emiliano; … - Banca d'Italia - 2009
Current policy debate has renewed interest in countercyclical provisioning policies; dynamic provisions are regarded as a valuable device for pursuing this goal. Last July, Ecofin supported "the introduction of forward-looking provisioning, which consists in constituting provisions deducted from...
Persistent link: https://www.econbiz.de/10008472087
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Credit risk and business cycle over different regimes
Marcucci, Juri; Quagliariello, Mario - Banca d'Italia - 2008
threshold regression models both at the aggregate and the bank level and exploiting a unique dataset on Italian bank borrowersï …
Persistent link: https://www.econbiz.de/10005609366