The aim of the paper is to understand the interaction between market and credit risk. Using a comprehensive set of Italian data, we apply a factor model to identify the common sources of risk driving fluctuations in the real and financial sectors. The common latent factors are then inserted in a...

Since the early part of 2010 tensions in the sovereign debt markets of some euro-area countries have progressively distorted monetary and credit conditions, hindering the ECB monetary policy transmission mechanism and raising the cost of loans to non-financial corporations and households. This...

A generalization of the endogenous threshold model is developed by extending this class to a multivariate framework and to cases where the feedback acts at multiple lags. The feedback is specified, following Beaudry and Koop, by a variable which measures the depth of recessions. We give...

We study the effects of the world economic crisis which began in 2007 on the Italian productive system. National accounts data are supplemented with information gathered in spring 2009 from the Bank of Italy�s survey on industrial and service firms, and from interviews with about 70 of...

A generalization of the endogenous threshold model is developed by extending this class to multivariate framework and to cases where the feedback acts at multiple lags. The feedback is specified, following Beaudry and Koop, by a variable which measures the depth of recessions. We give conditions...

The paper compares the Argentine specialization model with that of the other major Latin American countries. Given the lack of production data at disaggregate level, we rely on trade flow information from the WTA Statistics Canada database (3-digit SITC classification), available for most Latin...

The paper analyses the most recent evolution of the trade specialisation pattern in the 10 new EU Member States. Relying on the empirical approach of the Markov transition matrices it analyses both the changes in the external shape of the distribution of comparative advantages and the...

Global monetary conditions are often cited as a driver of commodity prices. This paper investigates the empirical relationship between US monetary policy and commodity prices by means of a standard VAR system, commonly used in analysing the effects of monetary policy shocks. The results suggest...

We model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics...

This paper proposes a Bayesian regression model with time-varying coefficients (TVC) that makes it possible to estimate jointly the degree of instability and the time-path of regression coefficients. Thanks to its computational tractability, the model proves suitable to perform the first (to our...