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The role of financial investments in agricultural commodity derivatives markets

Borin, Alessandro; Nino, Virginia Di - Banca d'Italia - 2012

volatility of futures prices. The Granger-causality tests suggest that speculative investments usually follow ï¿½ rather than … associated with lower volatility of futures returns, while that of swap dealers is sometimes followed by higher price variations. …

Persistent link: https://www.econbiz.de/10009645788

Macroeconomic determinants of carry trade activity

Anzuini, Alessio; Fornari, Fabio - Banca d'Italia - 2011

From a financial standpoint, the mechanics of the carry trade has been recently examined in Brunnermeier et al. (2009). They showed that shocks to interest rate differentials lead to carry trade activity and to significant reactions in the bilateral exchange rates vis-a-vis the US dollar that...

Persistent link: https://www.econbiz.de/10009320179

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

The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates

Fornari, Fabio; Monticelli, Carlo; Pericoli, Marcello; … - Banca d'Italia - 1999

effect on the conditional volatility of these variables. The analysis spans a period of great financial and political …

Persistent link: https://www.econbiz.de/10005770784

Labor Income and Risky Assets under Market Incompleteness: Evidence from Italian Data

Grande, Giuseppe; Ventura, Luigi - Banca d'Italia - 2001

Theory suggests that uninsurable income risk induces individuals to accumulate assets as a precautionary reserve of value. Most assets, however, bear rate of return risk, that can be diversified only if every asset is traded by a large number of individuals and arbitrage is frictionless. Using...

Persistent link: https://www.econbiz.de/10005113608

Estimating expectations of shocks using option prices

Cesare, Antonio Di - Banca d'Italia - 2004

point in time, the parameters of the model are estimated by minimizing the sum of squared implied volatility errors, and … their informational content is compared with the widely used Black and Scholes implied volatility, calculated on at … periods of high variability of asset prices the jump-diffusion approach may help to disentangle the cases in which volatility …

Persistent link: https://www.econbiz.de/10005609384

Price discovery in the Italian sovereign bonds market: the role of order flow

Girardi, Alessandro; Impenna, Claudio - Banca d'Italia - 2013

This paper analyses the price discovery process and the informational role of trading in the Italian wholesale secondary markets for Treasury bonds: the B2B MTS cash and the B2C BondVision trading venues. Using daily data for a representative set of fixed rate government bonds over the period...

Persistent link: https://www.econbiz.de/10011099620

What is a prime bank? A Euribor ï¿½ OIS spread perspective

Taboga, Marco - Banca d'Italia - 2013

Since the outbreak of the financial crisis in 2007, the level and volatility of Euribor ï¿½ OIS differentials have …

Persistent link: https://www.econbiz.de/10011099626

The tax system and the financial crisis

Ceriani, Vieri; Manestra, Stefano; Ricotti, Giacomo; … - Banca d'Italia - 2011

This paper investigates the effects of the tax system on the economic factors that triggered the financial crisis. We examine three cases in which the tax regime interacted with these factors, reinforcing them. First, we focus on the taxation of residential building: while the importance of...

Persistent link: https://www.econbiz.de/10008835086

Financial inclusion - G20 initiatives and the role of the Bank of Italy

Gomel, Giorgio; Bernasconi, Fabio; Cartechini, … - Banca d'Italia - 2011

Financial exclusion concerns 2.5 billion individuals and more than 450 million enterprises. The G20 countries are committed to the reduction of this phenomenon. The Bank of Italy has a fundamental role in the field of financial inclusion, both on a national and an international scale through...

Persistent link: https://www.econbiz.de/10009193018