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Macroeconomic uncertainty and banks' lending decisions: The case of Italy
Quagliariello, Mario - Banca d'Italia - 2007
This paper discusses the role that macroeconomic uncertainty plays in banks� decisions on the optimal asset allocation. Using a portfolio model recently proposed in the literature, the paper aims at disentangling how Italian banks choose between loans and risk-free assets when uncertainty...
Persistent link: https://www.econbiz.de/10005609339
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Italian mutual banks and the challenge of Basel III
Cannata, Francesco; Giorgio D�Acunto; Allegri, … - Banca d'Italia - 2013
banks are faced with the upcoming Basel III reform. Economic trends continue to exert pressure on the traditional bank …
Persistent link: https://www.econbiz.de/10011100363
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Looking ahead to Basel 3: Italian banks on the move
Cannata, Francesco; Bevilacqua, Marco; Casellina, … - Banca d'Italia - 2013
In December 2010 the Basel Committee on Banking Supervision published a set of new regulations for banks in response to the financial crisis. This paper aims at evaluating the possible effects of the new framework on banks� available regulatory capital and risk-weighted assets and assessing...
Persistent link: https://www.econbiz.de/10011100377
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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
After August 2007 the plumbing system that supplied banks with wholesale funding, the interbank market, failed because toxic assets obstructed the pipes. Banks were forced to squeeze liquidity in a �lemons market� or to ask for liquidity �on tap� from central banks. This...
Persistent link: https://www.econbiz.de/10009320176
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Bank balance sheets and the transmission of financial shocks to borrowers: evidence from the 2007-2008 crisis
Patti, Emilia Bonaccorsi di; Sette, Enrico - Banca d'Italia - 2012
We use Italian data on bank lending to firms to study the transmission of shocks affecting bank balance sheets to the …-in-difference approach because: a large number of firms in Italy borrow from more than one bank; the shocks to the wholesale funding market … significantly affect their lending, the deterioration of bank capitalization as proxied by charge-offs and profitability had a …
Persistent link: https://www.econbiz.de/10009645790
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Bank heterogeneity and interest rate setting: what lessons have we learned since Lehman Brothers?
Gambacorta, Leonardo; Mistrulli, Paolo Emilio - Banca d'Italia - 2011
shocks. Much less is known about how lending relationships and bank-specific characteristics affect the functioning of the … investigate how bank-specific characteristics (size, liquidity, capitalization, funding structure) and the bank-firm relationship …
Persistent link: https://www.econbiz.de/10009364552
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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 empirical analysis of national differences in the retail bank interest rates of the euro area
Affinito, Massimiliano; Farabullini, Fabio - Banca d'Italia - 2006
The availability of new harmonized data on bank interest rates allows a rigorous assessment to be made of cross …
Persistent link: https://www.econbiz.de/10005111545
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Credit supply, flight to quality and evergreening: an analysis of bank-firm relationships after Lehman
Albertazzi, Ugo; Marchetti, Domenico J. - Banca d'Italia - 2010
This paper analyzes the effects of the financial crisis on credit supply by using highly detailed data on bank … borrowers’ risk, by exploiting multiple lending. We find evidence of a contraction of credit supply, associated to low bank …' productivity and interest rates at bank-firm level. …
Persistent link: https://www.econbiz.de/10008509918
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Real effects of banking crises: a survey of the literature
Carpinelli, Luisa - Banca d'Italia - 2009
The literature is unanimous in highlighting that banking crises have a negative impact on GDP, usually more pronounced in developing economies. The magnitude of the losses is more controversial: the quantitative results of studies on the repercussions of banking crises on economic activity, in...
Persistent link: https://www.econbiz.de/10008546340