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First-time corporate bond issuers in Italy
Accornero, Matteo; Russo, Paolo Finaldi; Guazzarotti, … - Banca d'Italia - 2015
The paper looks at the characteristics of Italian non-financial firms that accessed the bond market for the first time between 2002 and 2013. The results of logit estimations indicate that first-time bond issuers are significantly larger and more frequently listed on the stock exchange than...
Persistent link: https://www.econbiz.de/10011265437
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The pricing of government-guaranteed bank bonds
Levy, Aviram; Zaghini, Andrea - Banca d'Italia - 2010
We examine the effects of the government guarantee schemes for bank bonds adopted in the aftermath of the Lehman Brothers demise to help banks retain access to wholesale funding. We describe the evolution and the pattern of bond issuance across countries to assess the effect of the schemes. Then...
Persistent link: https://www.econbiz.de/10008626021
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The riskiness of corporate bonds
Taboga, Marco - Banca d'Italia - 2009
When the riskiness of an asset increases, then, arguably, some risk-averse agents that were previously willing to hold on to the asset are no longer willing to do so. Aumann and Serrano (2008) have recently proposed an index of riskiness that helps to make this intuition rigorous. We use their...
Persistent link: https://www.econbiz.de/10008527060
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The cost of firms� debt financing and the global financial crisis
Pianeselli, Daniele; Zaghini, Andrea - Banca d'Italia - 2014
We provide an assessment of the determinants of the risk premium paid by non-financial corporations on long-term bonds. By looking at 5,500 issues in the period 2005-2012, we find that the turbulence in the sovereign debt market has been a major driver of corporate risk in recent years. Compared...
Persistent link: https://www.econbiz.de/10011099704
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The market for corporate debt private placements
Branzoli, Nicola; Guazzarotti, Giovanni - Banca d'Italia - 2015
market liquidity, iv) lower information asymmetry between investors and issuers. The development of the market for private …
Persistent link: https://www.econbiz.de/10011206252
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The interbank market after the financial turmoil: squeezing liquidity in a "lemons market" or asking liquidity "on tap"
Socio, Antonio De - Banca d'Italia - 2011
toxic assets obstructed the pipes. Banks were forced to squeeze liquidity in a �lemons market� or to ask for liquidity ï … and liquidity risk and then evaluates the decomposition. The main finding is that credit risk increased before the key … events of the crisis, while liquidity risk was mainly responsible for the subsequent increases in the Euribor spread and then …
Persistent link: https://www.econbiz.de/10009320176
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On the interaction between market and credit risk: a factor-augmented vector autoregressive (FAVAR) approach
Fiori, Roberta; Iannotti, Simonetta - Banca d'Italia - 2010
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...
Persistent link: https://www.econbiz.de/10008692068
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An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil
Cesare, Antonio Di; Guazzarotti, Giovanni - Banca d'Italia - 2010
This paper analyzes the determinants of credit default swap spread changes for a large sample of US non-financial companies over the period between January 2002 and March 2009. In our analysis we use variables that the literature has found have an impact on CDS spreads and, in order to account...
Persistent link: https://www.econbiz.de/10008626020
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Dynamic provisioning: rationale, functioning, and prudential treatment
Burroni, Marco; Quagliariello, Mario; Sabatini, Emiliano; … - Banca d'Italia - 2009
Current policy debate has renewed interest in countercyclical provisioning policies; dynamic provisions are regarded as a valuable device for pursuing this goal. Last July, Ecofin supported "the introduction of forward-looking provisioning, which consists in constituting provisions deducted from...
Persistent link: https://www.econbiz.de/10008472087