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A microsimulation model to evaluate Italian households’ financial vulnerability

Michelangeli, Valentina; Pietrunti, Mario - Banca d'Italia - 2014

-level data from the Survey on Household Income and Wealth and matching them with macroeconomic forecasts on debt and income, we … project the future path of households’ indebtedness and debt-service ratio. This allows us to assess households’ vulnerability … vulnerable households (defined as those with a debt-service ratio above 30 per cent and income below the median) over the total …

Persistent link: https://www.econbiz.de/10011184259

Do wealth fluctuations generate time-varying risk aversion? Italian micro-evidence on household asset allocation

Cappelletti, Giuseppe - Banca d'Italia - 2012

Data from the Italian Survey of Households Income and Wealth (SHIW) are used to study portfolio allocations change in response to fluctuations in wealth. In particular I test for the prediction of models with habit formation that changes in liquid wealth will affect households' risk aversion and...

Persistent link: https://www.econbiz.de/10009645787

Householdsï¿½ indebtedness and financial vulnerability in the Italian regions

Vacca, Valerio; Coin, Daniele; Conti, Antonio Maria; … - Banca d'Italia - 2013

This paper depicts ï¿½ from a variety of viewpoints ï¿½ the degree of indebtedness and potential financial vulnerabilities of households across the Italian regions. Micro-data from several sources suggest that the financial situation of Italian households shows striking differences at...

Persistent link: https://www.econbiz.de/10011100383

Does financial education at school work? Evidence from Italy

Romagnoli, Angela; Trifilidis, Maurizio - Banca d'Italia - 2013

In the 2008-09 school year the Bank of Italy and the Italian Ministry of Education started an experimental program to incorporate financial education into school curricula. This paper describes the experience since then. According to the program, teachers receive training from the Bank on...

Persistent link: https://www.econbiz.de/10011100387

The Italian mortgage market: characteristics, evolution and regional differences. Evidence from a bank survey

Rossi, Paola - Banca d'Italia - 2008

The paper reviews the supply of different mortgage instruments to Italian households by means of data obtained from a survey conducted in 2007 by the Bank of Italy over more than 300 banks. The results document significant innovations in housing finance in the last five years: a greater variety...

Persistent link: https://www.econbiz.de/10005113690

Bayesian analysis of coefficient instability in dynamic regressions

Ciapanna, Emanuela; Taboga, Marco - Banca d'Italia - 2011

This paper proposes a Bayesian regression model with time-varying coefficients (TVC) that makes it possible to estimate jointly the degree of instability and the time-path of regression coefficients. Thanks to its computational tractability, the model proves suitable to perform the first (to our...

Persistent link: https://www.econbiz.de/10009386395

FORECASTING OUTPUT GROWTH AND INFLATION IN THE EURO AREA: ARE FINANCIAL SPREADS USEFUL?

Nobili, Andrea - Banca d'Italia - 2005

This paper deals with the usefulness of several measures of financial spreads (the slope of the yield curve, the reverse yield gap, the credit quality spread) for fore-casting real economic activity and inflation in the euro area. A quarterly Bayesian vector autoregression model is used to...

Persistent link: https://www.econbiz.de/10005111558

Real exchange rate volatility and disconnect: an empirical investigation

Cristadoro, Riccardo; Gerali, Andrea; Neri, Stefano; … - Banca d'Italia - 2008

A two-country model that incorporates many features proposed in the New Open Economy Macroeconomics literature is developed in order to replicate the volatility of the real exchange rate and its disconnect with macroeconomic variables. The model is estimated using data for the euro area and the...

Persistent link: https://www.econbiz.de/10005113550

Euro area and global oil shocks: an empirical model-based analysis

Forni, Lorenzo; Gerali, Andrea; Notarpietro, Alessandro; … - Banca d'Italia - 2012

We assess the impact of oil shocks on euro-area macroeconomic variables by estimating a new-Keynesian small open economy model with Bayesian methods. Oil price is determined according to supply and demand conditions in the world oil market. We find that the impact of an increase in the price of...

Persistent link: https://www.econbiz.de/10011099725

The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee

Moscadelli, Marco - Banca d'Italia - 2004

The revised Basel Capital Accord requires banks to meet a capital requirement for operational risk as part of an overall risk-based capital framework. Three distinct options for calculating operational risk charges are proposed (Basic Approach, Standardised Approach, Advanced Measurement...

Persistent link: https://www.econbiz.de/10005467320