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Is there an Equity Premium Puzzle in Italy? A Look at Asset Returns, Consumption and Financial Structure Data over the Last Century
Panetta, Fabio; Violi, Roberto - Banca d'Italia - 1999
fraction of the risk premium for the whole period can be accounted for by the performance following of the hyperinflation … episodes of the wars. However, the risk-return trade-off, owing to much larger volatility, compared unfavourably with other … risk premium. For government securities, this was estimated at around 0.8 percentage points. The inflation risk premium was …
Persistent link: https://www.econbiz.de/10005113669
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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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Regulatory impact assessment at the Bank of Italy
Cannata, Francesco; Libertucci, Massimo; Piersante, … - Banca d'Italia - 2010
attracting increased attention to the expected costs and benefits of such regulation; measures undertaken in response to the …
Persistent link: https://www.econbiz.de/10008764793
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Money and uncertainty : inflation, interest, indexation ; Banca d'Italia, Roma, 6 novembre 1992
Drèze, Jacques H. - 1993
Persistent link: https://www.econbiz.de/10000877254
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Style, Fees and Performance of Italian Equity Funds
Cesari, R.; Panetta, F. - Banca d'Italia - 1998
Using a clustering procedure, we classify Italian funds ex-post on the basis of the composition of their portfolios and find that the optimal number of clusters is equal to 4. The four groups which result from the statistical classification closely match the 4-level aggregation of the 20 ex-ante...
Persistent link: https://www.econbiz.de/10005486714
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Sensitivity of VAR Measures to Different Risk Models
Drudi, F.; Generale, A.; Majnoni, G. - Banca d'Italia - 1997
The paper provides an empirical assessment of the market risk exposure of several portfolios representative of real … life investment positions. We employ the notion of value at risk made popular by the recent debate on capital budgeting …
Persistent link: https://www.econbiz.de/10005640899
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Consumer credit during the crisis: evidence from contracts
Cristaudo, Pierpaolo; Magri, Silvia; Pico, Raffaella; … - Banca d'Italia - 2014
lengthened to reduce the installments. Risk indicators have improved. …
Persistent link: https://www.econbiz.de/10011100348
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The household credit market after five years of crisis: evidence from the survey on income and wealth
Magri, Silvia; Pico, Raffaella - Banca d'Italia - 2014
Half a decade of crisis has had a substantial impact on the market for credit to Italian households. From 2008 through 2012 the share of indebted households decreased by 4 percentage points, to 23 per cent; among young households it fell by 12 points. The decline involved consumer credit and...
Persistent link: https://www.econbiz.de/10011100365
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Household over-indebtedness: definition and measurement with Italian data
D'Alessio, Giovanni; Iezzi, Stefano - Banca d'Italia - 2013
The last decade has seen significant increases in consumer indebtedness in western countries, causing concern about its economic and social impact. In particular, over-indebtedness is attracting attention from national and international authorities because of its potential effect on both the...
Persistent link: https://www.econbiz.de/10011105123