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Central banks' macroeconomic projections and learning
Ferrero, Giuseppe; Secchi, Alessandro - Banca d'Italia - 2010
We study the impact of the publication of central banks� macroeconomic projections on the dynamic properties of an economy where (i) private agents have incomplete information and form their expectations using recursive learning algorithms; (ii) the short-term nominal interest rate is set...
Persistent link: https://www.econbiz.de/10008764925
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The Announcement of Monetary Policy Intentions
Ferrero, Giuseppe; Secchi, Alessandro - Banca d'Italia - 2009
Whether a central bank should share with the public its views about the future evolution of short term interest rates is an unresolved issue. Disclosing this information might allow a more precise control of market expectations and a more effective achievement of the ultimate goals of the...
Persistent link: https://www.econbiz.de/10008459742
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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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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
and liquidity risk and then evaluates the decomposition. The main finding is that credit risk increased before the key … events of the crisis, while liquidity risk was mainly responsible for the subsequent increases in the Euribor spread and then … May 2009 and February 2010 was influenced mainly by credit risk, suggesting that European banks were still in a ï …
Persistent link: https://www.econbiz.de/10009320176
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The interbank market after August 2007: what has changed, and why?
Angelini, Paolo; Nobili, Andrea; Picillo, Maria Cristina - Banca d'Italia - 2009
The outbreak of the financial crisis coincided with a sharp increase of worldwide interbank interest rates. We analyze the micro and macroeconomic determinants of this phenomenon, finding that before August 2007 interbank rates were insensitive to borrower characteristics, whereas afterwards...
Persistent link: https://www.econbiz.de/10008543202
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Credit and banking in a DSGE model of the euro area
Gerali, Andrea; Neri, Stefano; Sessa, Luca; Signoretti, … - Banca d'Italia - 2010
This paper studies the role of credit-supply factors in business cycle fluctuations. For this purpose, we introduce an imperfectly competitive banking sector into a DSGE model with financial frictions. Banks issue collateralized loans to both households and firms, obtain funding via deposits and...
Persistent link: https://www.econbiz.de/10008480533
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Short-term interest rate futures as monetary policy forecasts
Ferrero, Giuseppe; Nobili, Andrea - Banca d'Italia - 2008
into risk premium and forecast error components, we find that risk premia are counter-cyclical in both areas. On the …
Persistent link: https://www.econbiz.de/10005609342
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Are there asymmetries in the response of bank interest rates monetary shocks?
Gambacorta, Leonardo; Iannotti, Simonetta - Banca d'Italia - 2005
This paper examines the velocity and asymmetry in the response of bank interest rates to monetary policy shocks. Using an Asymmetric Vector Error Correction Model (AVECM), it analyses the pass-through of changes in the money market rates to retail bank interest rates in Italy in the period...
Persistent link: https://www.econbiz.de/10005113657
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The Eurosystem�s asset purchase programmes for monetary policy purposes
Cova, Pietro; Ferrero, Giuseppe - Banca d'Italia - 2015
This paper analyzes the operation of the Eurosystem�s public and private assets purchases programmes for monetary policy purposes, quantifying the potential effect on the Italian economy. First we give an exhaustive account of the main transmission channels by which the purchases can be...
Persistent link: https://www.econbiz.de/10011277927
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The sovereign debt crisis and the euro area
Grande, Giuseppe; Neri, Stefano; Siviero, Stefan - Banca d'Italia - 2013
This publication collects the papers presented at the workshop entitled "The sovereign debt crisis and the euro area", held at the Bank of Italy in Rome on 15 February 2013. In recent years the Economic Research and International Relations Area of the Bank of Italy has conducted several analyses...
Persistent link: https://www.econbiz.de/10011277929