Narrow search
Showing 1 - 10 of 87
Cover Image
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
Cover Image
Are Sovereign Wealth Funds contrarian investors?
Ciarlone, Alessio; Miceli, Valeria - Banca d'Italia - 2014
This paper investigates the determinants of the investment activity of Sovereign Wealth Funds (SWFs) at a macro level, with special emphasis on the possible reaction to a financial crisis in a potential target economy. The analysis relies upon a specially built proprietary database, which...
Persistent link: https://www.econbiz.de/10011099703
Cover Image
Externalities in interbank network: results from a dynamic simulation model
Manna, Michele; Schiavone, Alessandro - Banca d'Italia - 2012
contagion over but these measures become less effective when the shock is very large, when the situation is best addressed by …
Persistent link: https://www.econbiz.de/10011099690
Cover Image
Pure or wake-up-call contagion? Another look at the EMU sovereign debt crisis
Giordano, Raffaela; Pericoli, Marcello; Tommasino, Pietro - Banca d'Italia - 2013
contagion. Our analysis includes indicators of domestic and external imbalances which were mostly disregarded by previous … creditworthiness of a sovereign borrower (wake-up-call contagion) and behaviour not linked to fundamentals (pure contagion). We find … evidence of wake-up-call contagion but not of pure contagion. …
Persistent link: https://www.econbiz.de/10011099707
Cover Image
The negative feedback loop between banks and sovereigns
Angelini, Paolo; Grande, Giuseppe; Panetta, Fabio - Banca d'Italia - 2014
More than three years since the outbreak of the sovereign debt crisis in the euro area the banking systems of several countries remain exposed to the vagaries of government bond markets. The paper analyzes the different channels through which sovereign risk affects banking risk (and vice versa),...
Persistent link: https://www.econbiz.de/10011100401
Cover Image
Lessons learned from the financial crisis for financial stability and banking supervision
Vincenzo, Alessio De; Freni, Maria Alessandra; … - Banca d'Italia - 2010
The financial crisis that began in 2007 has revealed a need for a new supervisory and regulatory approach aimed at strengthening the system and containing the risk of future financial and economic disruptions. Three ingredients are needed to ensure financial stability: robust analysis, better...
Persistent link: https://www.econbiz.de/10008764794
Cover Image
Countercyclical contingent capital (CCC): possible use and ideal design
Martino, Giuseppe De; Libertucci, Massimo; Marangoni, Mario - Banca d'Italia - 2010
Contingent capital � any debt instrument that converts into equity when a predefined event occurs � has received increasing attention as a viable tool for allowing banks to raise capital when needed at relatively more affordable prices than common equity. While the debate has focused...
Persistent link: https://www.econbiz.de/10008677915
Cover Image
Financial innovation oversight: a policy framework
Carlo, Gola; Antonio, Ilari - Banca d'Italia - 2013
This paper proposes a policy framework for intercepting, monitoring and containing the unintended harmful effects of financial innovation. The current approach, adopted by several authorities, makes extensive use of the tools of transparency and disclosure, mainly for consumer protection. It has...
Persistent link: https://www.econbiz.de/10011099606
Cover Image
An indicator of systemic liquidity risk in the Italian financial markets
Iachini, Eleonora; Nobili, Stefano - Banca d'Italia - 2014
This paper introduces a coincident indicator of systemic liquidity risk in the Italian financial markets. In order to take account of the systemic dimension of liquidity stress, standard portfolio theory is used. Three sub-indices, that reflect liquidity stress in specific market segments, are...
Persistent link: https://www.econbiz.de/10011100385
Cover Image
Connect them where it hurts. The missing piece of the puzzle
Esposito, Lorenzo - Banca d'Italia - 2013
The crisis has shown that banks that are too big to fail are at the core of the international financial system. These institutions are thus at the centre of a powerful wave of re-regulation of the banking system. Overall, the proposals developed to strengthen the capacity of big banks to weather...
Persistent link: https://www.econbiz.de/10011105112