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International Banking and Liquidity Risk Transmission: Evidence from Italy

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  • Marianna Caccavaio
  • Luisa Carpinelli
  • Giuseppe Marinelli
  • Enrico Sette

Abstract

This paper studies to what extent liquidity shocks have an impact on domestic and cross-border lending of Italian banks. In particular, it looks for differences across banks depending on their international exposure, and accounts for the effects of the sovereign debt crisis and the ECB nonconventional monetary policy measures. The main findings are that overall the degree of internationalization of the intermediaries seems to play a limited role in explaining the pattern of transmission of higher liquidity risk to lending. When proxied with a measure of sovereign risk, the paper finds evidence that, when the spread widens, banks without foreign affiliates reduce lending more than other banks.

Suggested Citation

  • Marianna Caccavaio & Luisa Carpinelli & Giuseppe Marinelli & Enrico Sette, 2015. "International Banking and Liquidity Risk Transmission: Evidence from Italy," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 63(3), pages 568-584, November.
    • Handle: RePEc:pal:imfecr:v:63:y:2015:i:3:p:568-584
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    Cited by:

    1. Blickle, Kristian, 2022. "Local banks, credit supply, and house prices," Journal of Financial Economics, Elsevier, vol. 143(2), pages 876-896.
    2. Schmidt, Julia & Caccavaio, Marianna & Carpinelli, Luisa & Marinelli, Giuseppe, 2018. "International spillovers of monetary policy: Evidence from France and Italy," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 50-66.
    3. Morteza Alaeddini & Philippe Madiès & Paul J. Reaidy & Julie Dugdale, 2023. "Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 573-654, April.
    4. Marianna Caccavaio & Luisa Carpinelli & Giuseppe Marinelli, 2017. "International Banking and Cross-Border Effects of Regulation: Lessons from Italy," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 223-247, March.

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