We investigate the effects of regulatory restrictions on the amounts invested in risky asset classes in life insurance funds across EU countries. By estimating a panel data econometric model, we find that these restrictions have an economically and statistically significant negative impact on...

This paper provides new insights into the relationship between the supply of credit and the macroeconomy. We present evidence that credit shocks constitute shocks to aggregate supply in that they have a permanent effect on output and cause inflation to rise in the short term. Our results also...

We study jointly the roles of aggregate and idiosyncratic uncertainty shocks in driving business cycle fluctuations. By decomposing total stock return volatility of over 20,000 publicly-listed US firms from 1962 to 2012, we construct separate indices for aggregate and idiosyncratic uncertainty,...

We have assembled a unique loan-level performance dataset for mortgages originated in the UK to study the differences in default likelihood between loans of varying borrower and loan characteristics. We can broadly confirm the relevance of most commonly known riskfactors and find that most...

In this paper we analyse the new geography of the Italian banking system on the basis of the integration pressures of recent years. The analysis of the evolution of thebanking system is focused on the concept of distance. In particular, we not only refer to the traditional distance between bank...

In this paper we analyse the new geography of the Italian banking system on the basis of the integration pressures of recent years. The analysis of the evolution of thebanking system is focused on the concept of distance. In particular, we not only refer to the traditional distance between bank...

In financial economics, co-movements between equity returns are generally interpreted as a measure of equity market integration. In line with this idea, the paper investigates whether the euro equity markets have become less segmented over the last decade referring to three different estimates...

Relying on the common statement that New York is a leader market in the world, this paper investigates whether the American market drives the performance of other world's stock markets and whether the interdependence becomes higher in periods of economic downturn and poor market performance...

In this paper we analyze the new geography of the Italian banking system that has arisen after the integration of banking structures in recent years. The analysis of the evolution of the banking system is based on the concept of distance. In particular, we do not only refer to the traditional...

This article investigates the effectiveness of monetary policy during a credit crunch by estimating a vector autoregression on the US economy. We present evidence that interest rate cuts have a diminished impact on growth, due to impairment in the relationship between monetary policy and the...