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Extreme value theory for finance: a survey
Rocco, Marco - Banca d'Italia - 2011
Extreme value theory is concerned with the study of the asymptotical distribution of extreme events, that is to say events which are rare in frequency and huge with respect to the majority of observations. Statistical methods derived from this theory have been increasingly employed in finance,...
Persistent link: https://www.econbiz.de/10009193022
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Identifying and tracking global, EU and Eurozone systemically important banks with public data
Masciantonio, Sergio - Banca d'Italia - 2013
This paper develops a methodology for identifying systemically important financial institutions based on that developed by the Basel Committee on Banking Supervision (2011) and used by the Financial Stability Board in its yearly G-SIBs identification. The methodology uses publicly available data...
Persistent link: https://www.econbiz.de/10011099597
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An empirical analysis of national differences in the retail bank interest rates of the euro area
Affinito, Massimiliano; Farabullini, Fabio - Banca d'Italia - 2006
The availability of new harmonized data on bank interest rates allows a rigorous assessment to be made of cross-country price homogeneity/heterogeneity in euro area retail credit markets. Econometric analysis shows that the banking market is still highly segmented and that the degree of...
Persistent link: https://www.econbiz.de/10005111545
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Convergence clubs, the euro-area rank and the relationship between banking and real convergence
Affinito, Massimiliano - Banca d'Italia - 2011
This paper analyses banking convergence, measured through the ratios of deposits and loans to GDP, across 65 countries …, compares it with per capita income convergence, and tests its effect on real convergence. The focus of the paper is the group … convergence among these countries with that reached by other 17 potential convergence clubs around the world (including the EU-27 …
Persistent link: https://www.econbiz.de/10009144904
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Household aggregate wealth in the main OECD countries from 1980 to 2011: what do the data tell us?
Bonis, Riccardo De; Fano, Daniele; Sbano, Teresa - Banca d'Italia - 2013
years, the reasons for differences across countries, the tendency towards convergence, the economic interpretation of breaks …
Persistent link: https://www.econbiz.de/10011100332
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The scapegoat theory of exchange rates: the first tests
Fratzscher, Marcel; Rime, Dagfinn; Sarno, Lucio; Zinna, … - Banca d'Italia - 2014
The scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2013) suggests that market participants may attach excessive weight to individual economic fundamentals, which are picked as scapegoats to rationalize observed currency fluctuations at times when exchange rates are driven by...
Persistent link: https://www.econbiz.de/10011277939
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First-time corporate bond issuers in Italy
Accornero, Matteo; Russo, Paolo Finaldi; Guazzarotti, … - Banca d'Italia - 2015
The paper looks at the characteristics of Italian non-financial firms that accessed the bond market for the first time between 2002 and 2013. The results of logit estimations indicate that first-time bond issuers are significantly larger and more frequently listed on the stock exchange than...
Persistent link: https://www.econbiz.de/10011265437
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Real term structure and inflation compensation in the euro area
Pericoli, Marcello - Banca d'Italia - 2012
Estimates of the real term structure for the euro area implied by French index-linked bonds are obtained by means of a smoothing spline methodology. The real term structure allows computation of the constant-maturity inflation compensation, which is compared with the surveyed inflation...
Persistent link: https://www.econbiz.de/10009645794
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Expected inflation and inflation risk premium in the euro area and in the United States
Pericoli, Marcello - Banca d'Italia - 2012
This paper uses the celebrated no-arbitrage affine Gaussian term structure model applied to index-linked and standard government bonds to derive expected inflation rates and inflation risk premia, in the euro area and in the US. Maximum likelihood estimates show that the model describes the...
Persistent link: https://www.econbiz.de/10009645795
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Stock Prices and Money Velocity: A Multi-Country Analysis.
Caruso, M. - Banca d'Italia - 1996
What kind of information do stock prices offer for predicting velocity? This paper develops previous work by Milton Friedman for the US economy and shows that a wealth effect derived from the stock market has negatively influenced the ratio of nominal income to a broad definition of money in a...
Persistent link: https://www.econbiz.de/10005780692