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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 ï¿½ 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

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

Fiscal Policy and Macroeconomic Imbalances

Baldacci, Emanuele; Gupta, Sanjeev; Mulas-Granados, Carlos - Banca d'Italia - 2014

The volume collects the essays presented at the 15th Workshop on Public Finance organised by Banca d'Italia in Perugia from 4 to 6 April 2013. The workshop focused on the link between fiscal policy and macroeconomic imbalances and comprised four sessions. The first session concentrated on the...

Persistent link: https://www.econbiz.de/10011277938

Real Exchange Rates, Trade, and Growth: Italy 1861-2011

Nino, Virginia Di; Eichengreen, Barry; Sbracia, Massimo - Banca d'Italia - 2011

What is the relationship between real exchange rate misalignments and economic growth? And what effect, if any, did undervaluations or overvaluations of the lira/euro have on Italy's growth? We address these questions by presenting, first, three main facts: (i) there is a positive relationship...

Persistent link: https://www.econbiz.de/10009364463

What Caused the Asian Currency and Financial Crisis?.

Corsetti, G.; Pesenti, P.; Roubini, N. - Banca d'Italia - 1998

The paper examines the view that the Asian currency and financial crisis in 1997 and 1998 reflected structural and policy distortions in the countries of the region, even though market overreaction and herding caused the plunge of exchange rates, asset prices and economic activity to be more...

Persistent link: https://www.econbiz.de/10005640918

Debt Restructuring with Multiple Creditors and the Role of Exchange Offers.

Detragiache, E.; Garella, P.G. - Banca d'Italia - 1996

Exploiting the analogy with the private provision of a public good, this paper studies debt restructuring with an arbitrary number of creditors using mechanism design.

Persistent link: https://www.econbiz.de/10005640925

Trade and finance: is there more than just 'trade finance'? Evidence from matched bank-firm data

Prete, Silvia Del; Federico, Stefano - Banca d'Italia - 2014

Using unique matched bank-firm data on export, import and ordinary loans for a large sample of Italian manufacturing exporters for the years 2007-2010, this paper investigates the role of trade finance in a credit shock. We find that the credit shock faced by exporters in the aftermath of the...

Persistent link: https://www.econbiz.de/10011099656

Monetary Policy Transmission, the Exchange Rate and Long-Term Yields under Different Hypothesis on Expectations.

Gaiotti, E.; Nicoletti-Altimari, S. - Banca d'Italia - 1996

The paper studies the transmission of monetary policy through its effects on the exchange rate and on long-term interest rates under different schemes of expectations formation, within the framework of the quaterly model of the Banca d'Italia (BIQM).

Persistent link: https://www.econbiz.de/10005671390

What Caused the Asian Currency and Financial Crisis?

Corsetti, Giancarlo; Pesenti, Paolo; Roubini, Nouriel - Banca d'Italia - 1998

The paper explores the view that the Asian currency and financial crises in 1997 and 1998 reflected structural and policy distortions in the countries of the region, even though market overreaction and herding caused the plunge of exchange rates, asset prices and economic activity to be more...

Persistent link: https://www.econbiz.de/10005111544

Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area

Pericoli, Marcello - Banca d'Italia - 2005

This paper evaluates the use of risk-neutral probability density functions implied in 3-month interest-rate futures options to assess market perceptions regarding future monetary policy moves options allow the information content implied in simpler derivatives to be extended by providing...

Persistent link: https://www.econbiz.de/10005111560