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Un modello dei conti economici per il sistema bancario italiano

Author

Listed:
  • Luca Casolaro

    (Banca d'Italia)

  • Leonardo Gambacorta

    (Banca d'Italia)

Abstract

This paper analyzes the linkages between banks� profitability and the main real and financial indicators. The results, derived by means of a reduced-form model for the period 1984-2002, highlight a strict relation between all income and cost components and the evolution of the economic cycle. Net interest income shows a high correlation with nominal GDP and the interest rate term structure; income from services and trading are also influenced by the trend and volatility of stock and financial markets. Operating expenses depend on wage dynamics and changes in a bank�s organizational structure. Simulations performed for the period 2001-02 show a good predictive power of the model.

Suggested Citation

  • Luca Casolaro & Leonardo Gambacorta, 2004. "Un modello dei conti economici per il sistema bancario italiano," Temi di discussione (Economic working papers) 519, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:wptemi:td_519_04
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    File URL: http://www.bancaditalia.it/pubblicazioni/temi-discussione/2004/2004-0519/tema_519.pdf
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    References listed on IDEAS

    as
    1. Domenica J. Marchetti, 1999. "Markup and the Business Cycle: Evidence from Italian Manufacturing Branches," Temi di discussione (Economic working papers) 362, Bank of Italy, Economic Research and International Relations Area.
    2. Focarelli, Dario & Panetta, Fabio & Salleo, Carmelo, 2002. "Why Do Banks Merge?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(4), pages 1047-1066, November.
    3. Sbracia, Massimo & Zaghini, Andrea, 2001. "Expectations and information in second generation currency crises models," Economic Modelling, Elsevier, vol. 18(2), pages 203-222, April.
    4. Atkinson, A.B. & Brandolini, A., 2000. "Promise and Pitfalls in the Use of 'Secondary' Data -Sets: Income Inequality in OECD Countries," Papers 379, Banca Italia - Servizio di Studi.
    5. Marchetti, D.J., 1999. "Markup and the Business Cycle: Evidence from Italian Manufacturing Branches," Papers 362, Banca Italia - Servizio di Studi.
    6. Dario Focarelli & Alberto Franco Pozzolo, 2000. "The Determinants of Cross-Border Bank Shareholdings; an Analysis with Bank-Level Data from OECD Countries," Temi di discussione (Economic working papers) 381, Bank of Italy, Economic Research and International Relations Area.
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    Cited by:

    1. Renato Filosa, 2007. "Stress testing of the stability of the Italian banking system: a VAR approach," Heterogeneity and monetary policy 0703, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica.
    2. Sebastiano Laviola & Juri Marcucci & Mario Quagliariello, 2006. "Stress testing credit risk: experience from the italian FSAP," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 59(238), pages 269-291.
    3. Claudia Miani & Giulio Nicoletti & Alessandro Notarpietro & Massimiliano Pisani, 2012. "Banks� balance sheets and the macroeconomy in the Bank of Italy Quarterly Model," Questioni di Economia e Finanza (Occasional Papers) 135, Bank of Italy, Economic Research and International Relations Area.

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    More about this item

    Keywords

    redditivit� bancaria; ciclo economico; modello econometrico;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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