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Credit ratings in structured finance and the role of systemic risk

Violi, Roberto - Banca d'Italia - 2010

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues loomed large during the 2007-08 financial crisis, as the massive, unprecedented number of downgrades of AAA senior bond tranches inflicted severe losses on banks, calling into...

Persistent link: https://www.econbiz.de/10008677911

An assessment of financial sector rescue programmes

Panetta, Fabio; Faeh, Thomas; Grande, Giuseppe; Ho, Corrinne - Banca d'Italia - 2009

We analyse the wide array of rescue programmes adopted in several countries, following Lehman Brothersï¿½ default in September 2008, in order to support banks and other financial institutions. We first provide an overview of the programmes, comparing their characteristics, magnitudes and...

Persistent link: https://www.econbiz.de/10004964392

Macroeconomic determinants of carry trade activity

Anzuini, Alessio; Fornari, Fabio - Banca d'Italia - 2011

From a financial standpoint, the mechanics of the carry trade has been recently examined in Brunnermeier et al. (2009). They showed that shocks to interest rate differentials lead to carry trade activity and to significant reactions in the bilateral exchange rates vis-a-vis the US dollar that...

Persistent link: https://www.econbiz.de/10009320179

The role of financial investments in agricultural commodity derivatives markets

Borin, Alessandro; Nino, Virginia Di - Banca d'Italia - 2012

This paper investigates the relationship between futures prices and financial investments in derivatives of the main agricultural commodities. We first provide a broad picture of how these markets function and how they have evolved, showing that traders who deal mostly in commodity index...

Persistent link: https://www.econbiz.de/10009645788

The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates

Fornari, Fabio; Monticelli, Carlo; Pericoli, Marcello; … - Banca d'Italia - 1999

This paper analyzes the impact of news on several Italian financial variables, paying particular attention to the effect on the conditional volatility of these variables. The analysis spans a period of great financial and political turbulence in Italy, including the rapid succession of three...

Persistent link: https://www.econbiz.de/10005770784

Labor Income and Risky Assets under Market Incompleteness: Evidence from Italian Data

Grande, Giuseppe; Ventura, Luigi - Banca d'Italia - 2001

Theory suggests that uninsurable income risk induces individuals to accumulate assets as a precautionary reserve of value. Most assets, however, bear rate of return risk, that can be diversified only if every asset is traded by a large number of individuals and arbitrage is frictionless. Using...

Persistent link: https://www.econbiz.de/10005113608

The Effects of Bank Consolidation and Market Entry on Small Business Lending

Patti, Emilia Bonaccorsi di; Gobbi, Giorgio - Banca d'Italia - 2001

Consolidation in the banking industry of many countries has reduced the number of small banks and led to significant shifts in market shares; deregulation has fostered entry in local credit markets and branch expansion, which in turn have increased competition. Small businesses are believed to...

Persistent link: https://www.econbiz.de/10005111563

Are Mergers Beneficial to Consumers? Evidence from the Market for Bank Deposits

Focarelli, Dario; Panetta, Fabio - Banca d'Italia - 2002

The general conclusion of the empirical literature is that in-market consolidation generates adverse price changes, harming consumers. Previous studies, however, look only at the short-run pricing impact of consolidation, ignoring all effects that take longer to materialize. Using a database...

Persistent link: https://www.econbiz.de/10005113523

Why Do Banks Merge?

Focarelli, Dario; Panetta, Fabio; Salleo, Carmelo - Banca d'Italia - 1999

of mergers and acquisitions. We analyze the Italian market, which is similar to other main European countries. By … considering both acquisitions (i.e. the purchase of the majority of voting shares) and mergers we evidence the motives and results …; return on equity improves because of a decrease in capital. Acquisitions aim to restructure the loan portfolio of the …

Persistent link: https://www.econbiz.de/10005113557

Consolidation and efficiency in the financial sector: a review of the international evidence

Amel, Dean; Barnes, Colleen; Panetta, Fabio; Salleo, Carmelo - Banca d'Italia - 2002

In response to fundamental changes in regulation and technology, the financial industry around the world is undergoing an unprecedented wave of consolidation. A growing body of empirical literature has attempted to measure the efficiency gains from M&As; however there is little sense of how the...

Persistent link: https://www.econbiz.de/10005770770