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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
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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
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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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Debt Restructuring with Multiple Creditors and the Role of Exchange Offers.
Detragiache, E.; Garella, P.G. - Banca d'Italia - 1996
Exploiting the analogy with the private provision of a public good, this paper studies debt restructuring with an arbitrary number of creditors using mechanism design.
Persistent link: https://www.econbiz.de/10005640925
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A Primer on Financial Contagion
Pericoli, Marcello; Sbracia, Massimo - Banca d'Italia - 2001
shocks. We first review the different definitions and measures of contagion used in the literature. We then use a simple … multi-country asset pricing model to cast the main elements of the current debate on contagion and provide a stylized … classification, we survey the results obtained in the empirical literature on contagion. …
Persistent link: https://www.econbiz.de/10005609346
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Recent estimates of sovereign risk premia for euro-area countries
Cesare, Antonio Di; Grande, Giuseppe; Manna, Michele; … - Banca d'Italia - 2012
This paper examines the recent behavior of sovereign interest rates in the euro area, focusing on the 10 year yield spreads relative to Germany for Italy and other euro area countries. Both previous analyses and the new evidence presented in the paper suggest that, in recent months, for several...
Persistent link: https://www.econbiz.de/10011100417
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Collective action clauses: how do they weigh on sovereigns?
Bardozzetti, Alfredo; Dottori, Davide - Banca d'Italia - 2013
. While the impact is negligible for the highest ratings, there emerges a significant yield discount for mid-ratings, which is … smaller for bad ratings and possibly insignificant for the worst ratings. The relationship appears fairly robust across a … unless the perceived probability of default is too small. Nevertheless, at low ratings this relevance can be weakened by an …
Persistent link: https://www.econbiz.de/10011099640
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Credit supply during a sovereign debt crisis
Bofondi, Marcello; Carpinelli, Luisa; Sette, Enrico - Banca d'Italia - 2013
We study the effect of the increase in Italian sovereign debt risk on credit supply on a sample of 670,000 bank-firm relationships between December 2010 and December 2011, drawn from the Italian Central Credit Register. To identify a causal link, we exploit the lower impact of sovereign risk on...
Persistent link: https://www.econbiz.de/10011099677
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The macroeconomic effects of the sovereign debt crisis in the euro area
Neri, Stefano; Ropele, Tiziano - Banca d'Italia - 2015
This paper uses a Factor Augmented Vector Autoregressive model to assess the macroeconomic impact of the euro-area sovereign debt crisis and the effectiveness of the European Central Bank's conventional monetary policy. First, our results show that in the countries most affected by the crisis,...
Persistent link: https://www.econbiz.de/10011207928
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The effects of financial and real wealth on consumption: new evidence from OECD countries
Bonis, Riccardo De; Silvestrini, Andrea - Banca d'Italia - 2011
In this paper we present new estimates of the effect of households� financial and real wealth on consumption. The analysis makes reference to eleven OECD countries and takes into account quarterly data from 1997 to 2008. Unlike most of the previous literature on European countries, we...
Persistent link: https://www.econbiz.de/10009386397