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Is there a role for funding in explaining recent US bank failures?
Bologna, Pierluigi - Banca d'Italia - 2011
This paper tests the role of different banks� liquidity funding structures in explaining the bank failures that occurred in the United States between 2007 and 2009. The results highlight that funding is indeed a significant factor in explaining banks� probability of default. By...
Persistent link: https://www.econbiz.de/10009350682
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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
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Medium-term forecasting of euro-area macroeconomic variables with DSGE and BVARX models
Burlon, Lorenzo; Emiliozzi, Simone; Notarpietro, Alessandro - Banca d'Italia - 2015
The paper assesses the performance of medium-term forecasts of euro-area GDP and inflation obtained with a DSGE model … and with the Eurosystem projections; the same real time assumptions underlying the latter are used to condition the DSGE … overall more accurate than that of simple autoregressive models. The DSGE model shows a relatively better performance in …
Persistent link: https://www.econbiz.de/10011171339
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Risk measures for autocorrelated hedge fund returns
Cesare, Antonio Di; Stork, Philip A.; Vries, Casper G. de - Banca d'Italia - 2011
Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported returns. Getmansky, Lo, and Makarov(2004) derive mean, variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Following their lead, we derive adjusted...
Persistent link: https://www.econbiz.de/10009364554
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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
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Identifying and tracking global, EU and Eurozone systemically important banks with public data
Masciantonio, Sergio - Banca d'Italia - 2013
This paper develops a methodology for identifying systemically important financial institutions based on that developed by the Basel Committee on Banking Supervision (2011) and used by the Financial Stability Board in its yearly G-SIBs identification. The methodology uses publicly available data...
Persistent link: https://www.econbiz.de/10011099597
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Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns
Mistrulli, Paolo Emilio - Banca d'Italia - 2007
Interbank markets allow banks to cope with specific liquidity shocks. At the same time, they may be a channel allowing a bank default to spread to other banks. This paper analyzes how contagion propagates within the Italian interbank market using a unique data set including actual bilateral...
Persistent link: https://www.econbiz.de/10005467292
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Banks� Riskiness Over the Business Cicle: a Panel Analysis on Italian Intermediaries
Quagliariello, Mario - Banca d'Italia - 2006
Supervisors and policy makers pay increasing attention to the possible procyclical nature of banks� behaviour. Indeed, to guarantee macro and financial stability, it is important to understand whether, and to what extent, banks are affected by the macroeconomy and second round effects...
Persistent link: https://www.econbiz.de/10005609327
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The Net Stable Funding Ratio and banks� participation in monetary policy operations: some evidence for the euro area
Scalia, Antonio; Longoni, Sergio; Rosolin, Tiziana - Banca d'Italia - 2013
Based on a review of the analytical underpinnings of the effects of the NSFR on banks� choices, this paper attempts to relate banks� strategies to developments in the value of the ratio in the euro area. In spite of a not-so-near implementation date, the evidence is that the NSFR...
Persistent link: https://www.econbiz.de/10011100343
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Should monetary policy lean against the wind? An analysis based on a DSGE model with banking
Gambacorta, Leonardo; Signoretti, Federico M. - Banca d'Italia - 2013
improve upon a standard rule in terms of macroeconomic stabilization in a DSGE with both a firms' balance-sheet channel and a …
Persistent link: https://www.econbiz.de/10011099720