We introduce a two-country no-arbitrage term-structure model to analyse the joint dynamics of bond yields, macroeconomic variables, and the exchange rate. The model allows to understand how exogenous shocks to the exchange rate affect the yield curves, how bond yields co-move in different...

This paper proposes a possible way of assessing the effect on interest rate dynamics of changes in the decision-making approach, in the communication strategy and in the operational framework of a central bank. Through a GARCH specification we show that the US and the euro area displayed a...

This paper analyses the business cycle properties of 183 time series relevant to the Italian economy, including real, monetary and international variables. We propose new monthly coincident and leading composite indicators for the Italian business cycle; the leading indicator anticipates the...

How does bank profitability vary with interest rates? We present a model of a monopolistically competitive bank subject to repricing frictions, and test the model�s predictions using a unique panel data set on UK banks. We find evidence that large banks retain a residual exposure to...

This paper provides new evidence on the transmission of monetary policy in the euro area, assessing the impact of an unexpected increase of the short-term interest rates on the lending and borrowing activity in different economic sectors. We exploit the information content of the flow-of-funds...

This paper analyses the business cycle properties of 183 time series relevant to the Italian economy, including real, monetary and international variables. We propose new monthly coincident and leading composite indicators for the Italian business cycle; the leading indicator anticipates the...

The volume collects the papers presented at the Conference on "Banks, Local Credit Markets and Credit Supply" held in Milan, on 24 March 2010. The papers presented at the two sessions of the Conference analyse how banks' lending activities are organized and how this affects the supply of credit...

Social capital is a key factor affecting the functioning of financial markets (Guiso, Sapienza and Zingales, 2004). However, the estimation of the effect of social capital on credit markets is notoriously difficult. In this paper we exploit the recent Lehman Brothers crisis and a rich dataset to...

In this paper, a parametric cost frontier for the credit card market is specified (�stochastic frontier approach� - SFA) and robustness checks of the main results are performed. The aim is to provide some clues to: the x-inefficiency problem and determinants in a retail payment...

When a bank defaults or stops trading in the interbank market, both a liquidity shortage in the market itself and mounting trading losses should be anticipated. To gain more insight into the way a liquidity crisis spreads, we apply network topology techniques to monthly data on deposits...