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Rischio e concorrenza nel sistema bancario italiano durante la crisi finanziaria globale

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  • Francesco Marchionne

    ()
    (Nottingham Trent University, Division of Economics)

  • Alberto Zazzaro

    ()
    (Universit… Politecnica delle Marche, MoFiR)

Abstract

In questo lavoro, analizziamo il rapporto tra il rischio e la concorrenza nel sistema bancario italiano durante il periodo dal 2006 al 2010. Utilizzando stimatori OLS e panel, stimiamo l'impatto dell'indice di Lerner, una misura del potere di mercato della banca, sullo Z-score di Altman, una proxy della probabilita' d'insolvenza della banca. I risultati sono coerenti con il paradigma tradizionale dal charter-value e rifiutano il modello del risk-shifting proposto da Boyd-De Nicolo' (2005). Inoltre, mostriamo che durante la crisi il legame concorrenza-rischio Š divenuto ancora piu' stringente. I nostri risultati sono robusti a diverse definizioni di crisi e a diverse specificazioni.

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Bibliographic Info

Paper provided by Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences in its series Mo.Fi.R. Working Papers with number 86.

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Length: 40
Date of creation: Aug 2013
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Handle: RePEc:anc:wmofir:86

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