Un modello dei conti economici per il sistema bancario italiano

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Un modello dei conti economici per il sistema bancario italiano

Author Info

Luca Casolaro () (Banca d'Italia)
Leonardo Gambacorta () (Banca d'Italia)

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Leonardo Gambacorta

Abstract

This paper analyzes the linkages between banksÂ’ 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 bankÂ’s organizational structure. Simulations performed for the period 2001-02 show a good predictive power of the model.

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Publisher Info
Paper provided by Bank of Italy, Economic Research Department in its series Temi di discussione (Economic working papers) with number 519.

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Date of creation: Oct 2004
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Handle: RePEc:bdi:wptemi:td_519_04

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Postal: Via Nazionale, 91 - 00184 Roma
Web page: http://www.bancaditalia.it
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Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages

This paper has been announced in the following NEP Reports:

NEP-ALL-2006-01-24 (All new papers)
NEP-FIN-2006-01-24 (Finance)
NEP-FMK-2006-01-24 (Financial Markets)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Anthony B. Atkinson & Andrea Brandolini, 2000. "Promise and Pitfalls in the Use of 'Secondary' Data-Sets: Income Inequality in OECD Countries," Temi di discussione (Economic working papers) 379, Bank of Italy, Economic Research Department. [Downloadable!]
Other versions:
- 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.
Marchetti, D.J., 1999. "Markup and the Business Cycle: Evidence from Italian Manufacturing Branches," Papers 362, Banca Italia - Servizio di Studi.

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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

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. [Downloadable!]

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