Is bank portfolio riskiness procyclical: Evidence from Italy using a vector autoregression
Author
Abstract
(This abstract was borrowed from another version of this item.)
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Juri Marcucci & Mario Quagliariello, "undated". "Is Bank Portfolio Riskiness Procyclical? Evidence from Italy using a Vector Autoregression," Discussion Papers 05/09, Department of Economics, University of York.
References listed on IDEAS
- Glenn Hoggarth & Steffen Sorensen & Lea Zicchino, 2005. "Stress tests of UK banks using a VAR approach," Bank of England working papers 282, Bank of England.
- Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 10(Win), pages 2-16.
- Mario Quagliariello, "undated". "Banks' Performance over the Business Cycle: A Panel Analysis on Italian Intermediaries," Discussion Papers 04/17, Department of Economics, University of York.
- Laeven, Luc & Majnoni, Giovanni, 2003.
"Loan loss provisioning and economic slowdowns: too much, too late?,"
Journal of Financial Intermediation, Elsevier, vol. 12(2), pages 178-197, April.
- Luc Laeven & Giovanni Majnoni, 2002. "Loan loss provisioning and economic slowdowns: too much too late?," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
- Laeven, Luc & Majnoni, Giovanni, 2001. "Loan loss provisioning and economic slowdowns : too much, too late?," Policy Research Working Paper Series 2749, The World Bank.
- Laurence M. Ball, 1999.
"Policy Rules for Open Economies,"
NBER Chapters, in: Monetary Policy Rules, pages 127-156,
National Bureau of Economic Research, Inc.
- Laurence Ball, 1998. "Policy Rules for Open Economies," RBA Research Discussion Papers rdp9806, Reserve Bank of Australia.
- Laurence Ball, 1998. "Policy Rules for Open Economies," NBER Working Papers 6760, National Bureau of Economic Research, Inc.
- Peek, Joe & Rosengren, Eric S & Tootell, Geoffrey M B, 2003.
"Identifying the Macroeconomic Effect of Loan Supply Shocks,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(6), pages 931-946, December.
- Joe Peek & Eric Rosengren & Geoffrey M. B. Tootell, 2000. "Identifying the macroeconomic effect of loan supply shocks," Working Papers 00-2, Federal Reserve Bank of Boston.
- PEEK Joe & M.B. TOOTELL Geoffrey & ROSENGREN Eric S., 2010. "Identifying the Macroeconomic Effect of Loan Supply Shocks," EcoMod2003 330700118, EcoMod.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Lown, Cara & Peristiani, Stavros, 1996. "The behavior of consumer loan rates during the 1990 credit slowdown," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1673-1694, December.
- Robert R. Bliss & George G. Kaufman, 2002. "Bank procyclicality, credit crunches, and asymmetric monetary policy effects: a unifying model," Working Paper Series WP-02-18, Federal Reserve Bank of Chicago.
- Andrews, Donald W K, 1991.
"Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,"
Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
- Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877, Cowles Foundation for Research in Economics, Yale University.
- Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
- Ben S. Bernanke & Mark Gertler, 1995.
"Inside the Black Box: The Credit Channel of Monetary Policy Transmission,"
Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 27-48, Fall.
- Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," NBER Working Papers 5146, National Bureau of Economic Research, Inc.
- Bernanke, Ben & Gertler, Mark, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Working Papers 95-15, C.V. Starr Center for Applied Economics, New York University.
- Anthony Garratt & Kevin Lee & M. Hashem Pesaran & Yongcheol Shin, 2003.
"A Long run structural macroeconometric model of the UK,"
Economic Journal, Royal Economic Society, vol. 113(487), pages 412-455, April.
- Garratt, A. & Lee, K. & Pesaran, M. H. & Shin, Y., 1998. "A Long-run Structural Macro-econometric Model of the UK," Cambridge Working Papers in Economics 9812, Faculty of Economics, University of Cambridge.
- Anthony Garratt & Kevin Lee & Mohammad Hashem Pesaran & Yongcheol Shin, 2001. "A long run structural macroeconometric model of the UK," Edinburgh School of Economics Discussion Paper Series 35, Edinburgh School of Economics, University of Edinburgh.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Issing,Otmar & Gaspar,Vitor & Angeloni,Ignazio & Tristani,Oreste, 2001.
"Monetary Policy in the Euro Area,"
Cambridge Books,
Cambridge University Press, number 9780521783248, January.
- Issing,Otmar & Gaspar,Vitor & Angeloni,Ignazio & Tristani,Oreste, 2001. "Monetary Policy in the Euro Area," Cambridge Books, Cambridge University Press, number 9780521788885, January.
- Craig Furfine, 2001. "Bank Portfolio Allocation: The Impact of Capital Requirements, Regulatory Monitoring, and Economic Conditions," Journal of Financial Services Research, Springer;Western Finance Association, vol. 20(1), pages 33-56, September.
- repec:nsr:niesrd:85 is not listed on IDEAS
- Peek, Joe & Rosengren, Eric, 1995.
"The Capital Crunch: Neither a Borrower nor a Lender Be,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(3), pages 625-638, August.
- Joe Peek & Eric Rosengren, 1991. "The capital crunch: neither a borrower nor a lender be," Working Papers 91-4, Federal Reserve Bank of Boston.
- Joe Peek & Eric Rosengren, 1993. "The Capital Crunch: Neither A Borrower Nor A Lender Be," Boston College Working Papers in Economics 243, Boston College Department of Economics.
- Ben S. Bernanke & Cara S. Lown, 1991. "The Credit Crunch," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 22(2), pages 205-248.
- Michele Gambera, 2000. "Simple forecasts of bank loan quality in the business cycle," Emerging Issues, Federal Reserve Bank of Chicago, issue Apr.
- Olivier J. Blanchard & Mark W. Watson, 1986.
"Are Business Cycles All Alike?,"
NBER Chapters, in: The American Business Cycle: Continuity and Change, pages 123-180,
National Bureau of Economic Research, Inc.
- Olivier J. Blanchard & Mark W. Watson, 1984. "Are Business Cycles All Alike?," NBER Working Papers 1392, National Bureau of Economic Research, Inc.
- Michael Ehrmann & Leonardo Gambacorta & Jorge Mart�nez-Pag�s & Patrick Sevestre & Andreas Worms, 2001.
"Fynancial Systems and the Role of Banks in Monetary Policy Transmission in the Euro area,"
Temi di discussione (Economic working papers)
432, Bank of Italy, Economic Research and International Relations Area.
- Michael Ehrmann & Leonardo Gambacorta & Jorge Martínez-Pagés & Patrick Sevestre & Andreas Worms, 2001. "Financial Systems and the Role of Banks in Monetary Policy Transmission in the Euro Area," Working Papers 0118, Banco de España.
- Sevestre, Patrick & Martinez-Pages, Jorge & Gambacorta, Leonardo & Ehrmann, Michael & Worms, Andreas, 2001. "Financial systems and the role of banks in monetary policy transmission in the euro area," Discussion Paper Series 1: Economic Studies 2001,18, Deutsche Bundesbank.
- Ehrmann, Michael & Gambacorta, Leonardo & Martínez Pagés, Jorge & Sevestre, Patrick & Worms, Andreas, 2001. "Financial systems and the role of banks in monetary policy transmission in the euro area," Working Paper Series 105, European Central Bank.
- Glenn Hoggarth & Andrew Logan & Lea Zicchino, 2005. "Macro stress tests of UK banks," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 392-408, Bank for International Settlements.
- Bernanke, Ben S., 1986.
"Alternative explanations of the money-income correlation,"
Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January.
- Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc.
- Kishan, Ruby P & Opiela, Timothy P, 2000. "Bank Size, Bank Capital, and the Bank Lending Channel," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(1), pages 121-141, February.
- Gambacorta, Leonardo & Mistrulli, Paolo Emilio, 2004. "Does bank capital affect lending behavior?," Journal of Financial Intermediation, Elsevier, vol. 13(4), pages 436-457, October.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998.
"Generalized impulse response analysis in linear multivariate models,"
Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
- Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
- Andrew P. Meyer & Timothy J. Yeager, 2001. "Are small rural banks vulnerable to local economic downturns?," Review, Federal Reserve Bank of St. Louis, vol. 83(Mar), pages 25-38.
- Leonardo Gambacorta & Paolo Emilio Mistrulli, 2003. "Bank Capital and Lending Behaviour: Empirical Evidence for Italy," Temi di discussione (Economic working papers) 486, Bank of Italy, Economic Research and International Relations Area.
- Paolo Chiades & Leonardo Gambacorta, 2000. "La "credit view" in economia aperta: un�applicazione al caso italiano," Temi di discussione (Economic working papers) 388, Bank of Italy, Economic Research and International Relations Area.
- Angeloni,I. & Buttiglione,L. & Ferri,G. & Gaiotti,E., 1995. "The Credit Channel of Policy Across Heterogeneous Banks:the Case of Italy," Papers 256, Banca Italia - Servizio di Studi.
- Darren Pain, 2003. "The provisioning experience of the major UK banks: a small panel investigation," Bank of England working papers 177, Bank of England.
- Gambacorta, Leonardo, 2001.
"Bank-specific characteristics and monetary policy transmission: the case of Italy,"
Working Paper Series
103, European Central Bank.
- Leonardo Gambacorta, 2001. "Bank-Specific Characteristics and Monetary Policy Transmission: The Case of Italy," Temi di discussione (Economic working papers) 430, Bank of Italy, Economic Research and International Relations Area.
- repec:zbw:bofrdp:2001_006 is not listed on IDEAS
- Skander J. van den Heuvel, 2002. "Does bank capital matter for monetary transmission?," Economic Policy Review, Federal Reserve Bank of New York, vol. 8(May), pages 259-265.
- Blake, Andrew P & Westaway, Peter F, 1996. "Credibility and the Effectiveness of Inflation Targeting Regimes," The Manchester School of Economic & Social Studies, University of Manchester, vol. 64(0), pages 28-50, Suppl..
- Anil K. Kashyap & Jeremy C. Stein, 1997. "The role of banks in monetary policy: a survey with implications for the European Monetary Union," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 22(Sep), pages 2-18.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bouvatier, Vincent & Lepetit, Laetitia, 2008.
"Banks' procyclical behavior: Does provisioning matter?,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 513-526, December.
- Vincent Bouvatier & Laetitia Lepetit, 2008. "Banks' Procyclical Behavior: Does Provisioning Matter?," Post-Print hal-00916599, HAL.
- Vincent Bouvatier & Laetitia Lepetit, 2008. "Banks’ procyclical behavior: Does provisioning matter?," Post-Print hal-01098955, HAL.
- Vincent Bouvatier & Laetitia Lepetit, 2008. "Banks' procyclical behavior: Does provisioning matter?," Post-Print hal-00838544, HAL.
- Vincent Bouvatier & Laetitia Lepetit, 2006.
"Banks' procyclicality behavior: does provisioning matter?,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00115622, HAL.
- Vincent Bouvatier & Laetitia Lepetit, 2006. "Banks'procyclicality behavior: does provisioning matter?," Cahiers de la Maison des Sciences Economiques bla06035, Université Panthéon-Sorbonne (Paris 1).
- Vincent Bouvatier & Laetitia Lepetit, 2006. "Banks' procyclicality behavior: does provisioning matter?," Post-Print halshs-00115622, HAL.
- Stefano Puddu, 2013. "Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach," IRENE Working Papers 13-01, IRENE Institute of Economic Research.
- Marcello Pagnini & Paola Rossi & Valerio Vacca & Vincenzo Chiorazzo & Vincenzo D'Apice & Pierluigi Morelli & Giovanni Walter Puopolo, 2017.
"Economic Activity and Credit Market Linkages: New Evidence From Italy,"
Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 46(3), pages 491-526, November.
- V. Chiorazzo & V. D’Apice & P. Morelli & Giovanni W. Puopolo, 2015. "Economic Activity and Credit Market Linkages: New Evidence from Italy," CSEF Working Papers 413, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Christian Merkl & Stephanie Stolz, 2009.
"Banks' regulatory buffers, liquidity networks and monetary policy transmission,"
Applied Economics, Taylor & Francis Journals, vol. 41(16), pages 2013-2024.
- Merkl, Christian & Stolz, Stéphanie, 2006. "Banks' regulatory buffers, liquidity networks and monetary policy transmission," Kiel Working Papers 1303, Kiel Institute for the World Economy (IfW Kiel).
- Merkl, Christian & Stolz, Stéphanie, 2006. "Banks' regulatory buffers, liquidity networks and monetary policy transmission," Discussion Paper Series 2: Banking and Financial Studies 2006,06, Deutsche Bundesbank.
- Nada Mora & Andrew Logan, 2012.
"Shocks to bank capital: evidence from UK banks at home and away,"
Applied Economics, Taylor & Francis Journals, vol. 44(9), pages 1103-1119, March.
- Mora, Nada & Logan, Andrew, 2010. "Shocks to bank capital: evidence from UK banks at home and away," Bank of England working papers 387, Bank of England.
- Sterken, Elmer, 2003. "Monetary transmission, asset prices, and the business cycle indicator in Germany," CCSO Working Papers 200315, University of Groningen, CCSO Centre for Economic Research.
- Mario Quagliariello, 2009.
"Macroeconomic uncertainty and banks' lending decisions: the case of Italy,"
Applied Economics, Taylor & Francis Journals, vol. 41(3), pages 323-336.
- Mario Quagliariello, 2006. "Macroeconomics Uncertainty and Banks' Lending Decisions: The Case of Italy," Discussion Papers 06/02, Department of Economics, University of York.
- Mario Quagliariello, 2007. "Macroeconomic uncertainty and banks' lending decisions: The case of Italy," Temi di discussione (Economic working papers) 615, Bank of Italy, Economic Research and International Relations Area.
- Massimiliano Affinito & Fabio Farabullini, 2006. "An empirical analysis of national differences in the retail bank interest rates of the euro area," Temi di discussione (Economic working papers) 589, Bank of Italy, Economic Research and International Relations Area.
- Halvorsen, Jørn I. & Jacobsen, Dag Henning, 2016. "The bank-lending channel empirically revisited," Journal of Financial Stability, Elsevier, vol. 27(C), pages 95-105.
- Elmer Sterken, 2005.
"The Role of the Ifo Business Climate Indicator and Asset Prices in German Monetary Policy,"
Contributions to Economics, in: Jan-Egbert Sturm & Timo Wollmershäuser (ed.), Ifo Survey Data in Business Cycle and Monetary Policy Analysis, pages 173-201,
Springer.
- Elmer Sterken, 2004. "The Role of the IFO Business Climate Indicator and Asset Prices in German Monetary Policy," CESifo Working Paper Series 1204, CESifo.
- Stefanos Papadamou & Vaggelis Arvanitis & Costas Siriopoulos, 2014. "A Bank Lending Channel that is Working via Housing or via Consumer Loans? Evidence from Europe," Bulletin of Applied Economics, Risk Market Journals, vol. 1(1), pages 15-34.
- Leonardo Gambacorta & Paolo Emilio Mistrulli, 2003. "Bank Capital and Lending Behaviour: Empirical Evidence for Italy," Temi di discussione (Economic working papers) 486, Bank of Italy, Economic Research and International Relations Area.
- Aykut Ekinci, 2016. "Rethinking Credit Risk under the Malinvestment Concept: The Case of Germany, Spain and Italy," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2016(1), pages 39-63.
- Kenneth F. Wallis & Jan P. A. M. Jacobs, 2005.
"Comparing SVARs and SEMs: two models of the UK economy,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 209-228.
- Jan P. A. M. Jacobs & Kenneth F. Wallis, 2005. "Comparing SVARs and SEMs: two models of the UK economy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 209-228.
- Guglielmo Maria Caporale & Matteo Alessi & Stefano Di Colli & Juan Sergio Lopez, 2015.
"Loan Loss Provision: Some Empirical Evidence for Italian Banks,"
CESifo Working Paper Series
5253, CESifo.
- Guglielmo Maria Caporale & Matteo Alessi & Stefano Di Colli & Juan Sergio Lopez, 2015. "Loan Loss Provision: Some Empirical Evidence for Italian Banks," Discussion Papers of DIW Berlin 1459, DIW Berlin, German Institute for Economic Research.
- Jean-Stéphane Mésonnier & Dalibor Stevanovic, 2012.
"Bank Leverage Shocks and the Macroeconomy: a New Look in a Data-Rich Environment,"
CIRANO Working Papers
2012s-23, CIRANO.
- Jean-Stéphane Mésonnier & Dalibor Stevanovic, 2013. "Bank Leverage Shocks and the Macroeconomy: a New Look in a Data-Rich Environment," Cahiers de recherche 1330, CIRPEE.
- Mésonnier, J-S. & Stevanovic, D., 2012. "Bank leverage shocks and the macroeconomy: a new look in a data-rich environment," Working papers 394, Banque de France.
- Jean-Stéphane Mésonnier & Dalibor Stevanovic, 2012. "Bank Leverage Shocks And The Macroeconomy: A New Look In A Data-Rich Environment," CIRANO Papers 2012n-10a, CIRANO.
- Pesaran M.H. & Schuermann T. & Weiner S.M., 2004.
"Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 129-162, April.
- Pesaran, M.H. & Weiner, S.M., 2001. "Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Cambridge Working Papers in Economics 0119, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran & Til Schuermann & Scott M. Weiner, 2001. "Modelling regional interdependencies using a global error-correcting macroeconometric model," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B4-1, International Conferences on Panel Data.
- M. Hashem Pesaran & Til Schuermann & Scott M. Weiner, 2002. "Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Center for Financial Institutions Working Papers 01-38, Wharton School Center for Financial Institutions, University of Pennsylvania.
- PESARAN M. Hashem & SCHUERMANN Til & WEINER Scott, 2010. "Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model," EcoMod2003 330700121, EcoMod.
- Mojon, Benoît & Kashyap, Anil K. & Angeloni, Ignazio & Terlizzese, Daniele, 2002. "Monetary Transmission in the Euro Area : Where Do We Stand?," Working Paper Series 0114, European Central Bank.
- Elbourne, Adam, 2008. "The UK housing market and the monetary policy transmission mechanism: An SVAR approach," Journal of Housing Economics, Elsevier, vol. 17(1), pages 65-87, March.
More about this item
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:intfin:v:18:y:2008:i:1:p:46-63. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/intfin .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.