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Beyond Macroeconomic Risk : The Role of Contagion in the Italian Corporate Default Correlation
Foglia, Antonella - 2015
The paper investigates the extent to which Italian corporate default correlation is due to the common dependence on macroeconomic (systematic) risk factors or, else, to other possibly unobservable factors arising from business inter-connections. Data on corporate default frequencies are taken...
Persistent link: https://www.econbiz.de/10013038866
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Climate change and credit risk : the effect of carbon taxes on Italian banks’ business loan default rates
Angelico, Cristina; Aiello, Maria Alessia - 2022
Climate change poses severe systemic risks to the financial sector through multiple transmission channels. In this paper, we estimate the potential impact of different carbon taxes (€50, €100, €200 and €800 per ton of CO2) on the Italian banks’ default rates at the sector level in the...
Persistent link: https://www.econbiz.de/10013288848
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Shadow Banking Out of the Shadows : Non-Bank Intermediation and the Italian Regulatory Framework
Gola, Carlo - 2017
Shadow banking is the creation or transfer – by banks and non-bank intermediaries – of bank-like risks outside the … banking system. In Italy the shadow banking system is fully regulated, mostly following the principle of same business …-same rules or ‘bank-equivalent regulation'. After an overview of the topic, we describe the Italian shadow banking system and the …
Persistent link: https://www.econbiz.de/10012958376
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Assessing Financial Stability Risks from the Real Estate Market in Italy
Ciocchetta, Federica - 2016
-related systemic banking crises, as vulnerability indicator we consider a continuous indicator represented by the ratio between the … quarter of 2016, banking vulnerability related to the real estate sector is expected to gradually decline …
Persistent link: https://www.econbiz.de/10012993374
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Bank lending procyclicality and credit quality during financial crises
Caporale, Guglielmo Maria; Di Colli, Stefano; Lopez, … - 2013
This paper analyses macroeconomic and financial determinants of bad loans applying a SVAR approach to investigate whether excessive loans granted during expansionary phases can explain the more than proportional increase in non-performing loans during contractionary periods. The results indicate...
Persistent link: https://www.econbiz.de/10009763782
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The Impact of the Sovereign Debt Crisis on the Activity of Italian Banks
Albertazzi, Ugo - 2012
We assess the effects of the sovereign debt crisis on Italian banks' activity using aggregate data on funding and loan rates, lending quantities and income statements for the period 1991-2011. We augment standard reduced-form equations for the variables of interest with the spread on 10-year...
Persistent link: https://www.econbiz.de/10013099517
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Credit Supply During a Sovereign Debt Crisis
Bofondi, Marcello - 2013
We study the effect of the increase in Italian sovereign debt risk on credit supply on a sample of 670,000 bank-firm relationships between December 2010 and December 2011, drawn from the Italian Central Credit Register. To identify a causal link, we exploit the lower impact of sovereign risk on...
Persistent link: https://www.econbiz.de/10013082512
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Bank Heterogeneity and Interest Rate Setting : What Lessons Have We Learned Since Lehman Brothers?
Gambacorta, Leonardo - 2014
A substantial literature has investigated the role of relationship lending in shielding borrowers from idiosyncratic shocks. Much less is known about how lending relationships and bank-specific characteristics affect the functioning of the credit market in an economy-wide crisis, when banks may...
Persistent link: https://www.econbiz.de/10013067112
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An Inquiry into the Determinants of the Profitability of Italian Banks
Albertazzi, Ugo - 2017
This paper examines the history and the determinants of bank profits in Italy from 2005-15. We first identify a number of key stylized facts by comparing the income statement of Italian lenders with that of banks in other European countries. The comparison suggests that the profitability gap of...
Persistent link: https://www.econbiz.de/10012962982
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Cross-Border Diversification in Bank Asset Portfolios
Buch, Claudia M. - 2010
We compute optimally diversified international asset portfolios for banks located in France, Germany, Italy, the U.K., and the U.S., using the mean-variance portfolio model with currency hedging. We compare these benchmark portfolios to the actual cross-border asset positions of banks from...
Persistent link: https://www.econbiz.de/10013150715