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Is there a role for funding in explaining recent US bank failures?
Bologna, Pierluigi - Banca d'Italia - 2011
This paper tests the role of different banks� liquidity funding structures in explaining the bank failures that occurred in the United States between 2007 and 2009. The results highlight that funding is indeed a significant factor in explaining banks� probability of default. By...
Persistent link: https://www.econbiz.de/10009350682
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Identifying and tracking global, EU and Eurozone systemically important banks with public data
Masciantonio, Sergio - Banca d'Italia - 2013
banks in the sample, according to their systemic importance scores. The methodology is then applied to EU and Eurozone …
Persistent link: https://www.econbiz.de/10011099597
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An indicator of systemic liquidity risk in the Italian financial markets
Iachini, Eleonora; Nobili, Stefano - Banca d'Italia - 2014
take account of the systemic dimension of liquidity stress, standard portfolio theory is used. Three sub-indices, that …
Persistent link: https://www.econbiz.de/10011100385
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Externalities in interbank network: results from a dynamic simulation model
Manna, Michele; Schiavone, Alessandro - Banca d'Italia - 2012
In this paper we conduct a simulation run on a sample of Italian banks where a trigger shock, a one-off event fairly … bank liquidity, seek help within their own group and dispose of assets. As the shock spreads, borrowers who lack liquid … contagion over but these measures become less effective when the shock is very large, when the situation is best addressed by …
Persistent link: https://www.econbiz.de/10011099690
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How to measure the unsecured money market? The Eurosystem�s implementation and validation using TARGET2 data
Arciero, Luca; Heijmans, Ronald; Heuver, Richard; … - Banca d'Italia - 2014
This paper develops a methodology, based on Furfine (1999), for identifying unsecured interbank money market loans from the transaction data of the most important euro payment processing system TARGET2, for maturities ranging from one day (overnight) up to three months. The implementation has...
Persistent link: https://www.econbiz.de/10011100380
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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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What is the Optimal Institutional Arrangement for a Monetary Union?
Gambacorta, Leonardo - Banca d'Italia - 1999
The aim of this paper is to design the optimal institutional arrangement for a monetary union. Using a two-country rational expectations model, the study analyses how the conservatism of the area-wide central bank and the penalty system for fiscal deviation (Stability and Growth Pact) should be...
Persistent link: https://www.econbiz.de/10005609368
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Italian banks in Europe : Convention on the Euro ; Italian Bankers' Association, Rome, 14 November 1998
Desario, Vincenzo - 1998
Persistent link: https://www.econbiz.de/10000996861