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Un modello dei conti economici per il sistema bancario italiano

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Author Info

  • Luca Casolaro

    ()
    (Banca d'Italia)

  • Leonardo Gambacorta

    ()
    (Banca d'Italia)

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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Bibliographic Info

Paper provided by Bank of Italy, Economic Research and International Relations Area 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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Web page: http://www.bancaditalia.it
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Keywords: redditività bancaria; ciclo economico; modello econometrico;

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References

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  1. 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.
  2. Marchetti, D.J., 1999. "Markup and the Business Cycle: Evidence from Italian Manufacturing Branches," Papers 362, Banca Italia - Servizio di Studi.
  3. 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.
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Cited by:
  1. Sebastiano Laviola & Juri Marcucci & Mario Quagliariello, 2006. "Stress testing credit risk: experience from the italian FSAP," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 59(238), pages 269-291.
  2. 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.

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