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The Eurosystem’s monetary, banking and financial statistics: some reflections on results and future steps

Bonis, Riccardo De - Banca d'Italia - 2013

of data on banks’ balance sheets, central banks and money market funds; on interest rates on deposits and loans; on non …

Persistent link: https://www.econbiz.de/10011277926

How Do Banks Set Interest Rates?

Gambacorta, Leonardo - Banca d'Italia - 2005

The aim of this paper is to study cross-sectional differences in banks interest rates. It adds to the existing literature in two ways. First, it analyzes systematically the micro and macroeconomic factors that influence the price-setting behaviour of banks. Second, by using banksï¿½ prices...

Persistent link: https://www.econbiz.de/10005111546

The Probability Density Function of Interest Rates Implied in the Price of Options

Fornari, Fabio; Violi, Roberto - Banca d'Italia - 1998

The paper contributes to the stochastic volatility literature by developing simulation schemes for the conditional distributions of the price of long term bonds and their variability based on non-standard distributional assumptions and volatility concepts; it illustrates the potential value of...

Persistent link: https://www.econbiz.de/10005111555

Central banks' macroeconomic projections and learning

Ferrero, Giuseppe; Secchi, Alessandro - Banca d'Italia - 2010

We study the impact of the publication of central banksï¿½ macroeconomic projections on the dynamic properties of an … their target level; and (iii) the central bank, ignoring the exact mechanism used by private agents to form expectations … this assumption. The set of macroeconomic projections released by the central bank crucially affects the results in terms …

Persistent link: https://www.econbiz.de/10008764925

Bridging the gap between migrants and the banking system

Albareto, Giorgio; Mistrulli, Paolo - Banca d'Italia - 2011

In this paper, we test whether micro firms run by migrants pay more for credit than firms run by natives and whether the differences in the cost of credit for these two groups of entrepreneurs decrease as the informational and cultural gaps narrow. We employ a large and unique data set providing...

Persistent link: https://www.econbiz.de/10008865937

Simple banking: profitability and the yield curve

Alessandri, Piergiorgio; Nelson, Benjamin - Banca d'Italia - 2014

How does bank profitability vary with interest rates? We present a model of a monopolistically competitive bank subject to repricing frictions, and test the modelï¿½s predictions using a unique panel data set on UK banks. We find evidence that large banks retain a residual exposure to...

Persistent link: https://www.econbiz.de/10011099664

Recent estimates of sovereign risk premia for euro-area countries

Cesare, Antonio Di; Grande, Giuseppe; Manna, Michele; … - Banca d'Italia - 2012

This paper examines the recent behavior of sovereign interest rates in the euro area, focusing on the 10 year yield spreads relative to Germany for Italy and other euro area countries. Both previous analyses and the new evidence presented in the paper suggest that, in recent months, for several...

Persistent link: https://www.econbiz.de/10011100417

The Announcement of Monetary Policy Intentions

Ferrero, Giuseppe; Secchi, Alessandro - Banca d'Italia - 2009

Whether a central bank should share with the public its views about the future evolution of short term interest rates … nature of this forecast, it could also undermine the credibility of the central bank. We provide new evidence on the effects …, where the central bank releases interest rate projections, we find that market expectations react significantly and …

Persistent link: https://www.econbiz.de/10008459742

Are there asymmetries in the response of bank interest rates monetary shocks?

Gambacorta, Leonardo; Iannotti, Simonetta - Banca d'Italia - 2005

This paper examines the velocity and asymmetry in the response of bank interest rates to monetary policy shocks. Using an Asymmetric Vector Error Correction Model (AVECM), it analyses the pass-through of changes in the money market rates to retail bank interest rates in Italy in the period...

Persistent link: https://www.econbiz.de/10005113657