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A Primer on Financial Contagion
Pericoli, Marcello; Sbracia, Massimo - Banca d'Italia - 2001
shocks. We first review the different definitions and measures of contagion used in the literature. We then use a simple … multi-country asset pricing model to cast the main elements of the current debate on contagion and provide a stylized … classification, we survey the results obtained in the empirical literature on contagion. …
Persistent link: https://www.econbiz.de/10005609346
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Correlation Analysis of Financial Contagion: What One Should Know before Running a Test
Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - Banca d'Italia - 2001
This paper presents a general test of contagion in financial markets based on bivariate correlation analysis � a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … hypothesis of 'no contagion' can be rejected only if the variance of country specific shocks is set to levels that are not …
Persistent link: https://www.econbiz.de/10005467302
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The banking and financial sector in the countries of South-Eastern Europe
2002
Persistent link: https://www.econbiz.de/10001737715
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Il mercato del credito e la borsa, i sistemi di compensazione, statistiche storiche: salari industriali e occupazione
Baia Curioni, Stefano - 1994
Persistent link: https://www.econbiz.de/10001386714
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An assessment of financial sector rescue programmes
Panetta, Fabio; Faeh, Thomas; Grande, Giuseppe; Ho, Corrinne - 2009
Persistent link: https://www.econbiz.de/10013437456
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Bank bonds: size, systemic relevance and the sovereign
Zaghini, Andrea - Banca d'Italia - 2014
I analyze the risk premium on bank bonds at origination with special focus on the role of implicit and explicit public guarantees and the systemic relevance of issuing institutions. Looking at the asset swap spread on 5,500 bonds, I find that explicit guarantees and sovereign creditworthiness...
Persistent link: https://www.econbiz.de/10011098940
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What determines debt intolerance? The role of political and monetary institutions
Giordano, Raffaela; Tommasino, Pietro - Banca d'Italia - 2009
Why do some states default on their debt more often than others? We argue that sovereign default is the outcome of a political struggle among different groups of citizens. It is more likely to happen if: (i) domestic debt-holders are relatively weak; (ii) the the political costs of the financial...
Persistent link: https://www.econbiz.de/10005113601
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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 that are less capitalized, less profitable, less...
Persistent link: https://www.econbiz.de/10008480534
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Financial sector pro-cyclicality: lessons from the crisis
Panetta, Fabio; Angelini, Paolo; Albertazzi, Ugo; … - Banca d'Italia - 2009
We analyze the main forces affecting financial system pro-cyclicality (the fact that developments in the financial sector can amplify business cycle fluctuations). We first review some major structural developments in financial markets that may influence pro-cyclicality and that have been...
Persistent link: https://www.econbiz.de/10005029282