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The derivatives through the lens of the financial accounts: measurement and analysis

Author

Listed:
  • Luigi Infante

    (Bank of Italy)

  • Bianca Sorvillo

    (Bank of Italy)

Abstract

This paper studies the performance of the market value of the derivatives for Italian banks by using the financial accounts and proposing an international comparison. An estimate of the market value was also obtained for the period from the first quarter of 2001 to the third quarter of 2008 by exploiting the continuity of the notional values found in the supervisory reports. Our analysis of the performance of banking derivatives in the major countries shows that their value has significantly decreased since the financial crisis. At the end of 2015, the amount of financial derivatives reported in the assets of monetary financial institutions was 4 per cent of the total financial assets in Italy, a much lower value than in the UK, Germany and France.

Suggested Citation

  • Luigi Infante & Bianca Sorvillo, 2017. "The derivatives through the lens of the financial accounts: measurement and analysis," Questioni di Economia e Finanza (Occasional Papers) 389, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:opques:qef_389_17
    as

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    File URL: https://www.bancaditalia.it/pubblicazioni/qef/2017-0389/QEF_389_17.pdf
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    References listed on IDEAS

    as
    1. Bernadette A. Minton & René Stulz & Rohan Williamson, 2005. "How Much Do Banks Use Credit Derivatives to Reduce Risk?," NBER Working Papers 11579, National Bureau of Economic Research, Inc.
    2. Larry E. Jones & Rodolfo E. Manuelli, 2001. "Endogenous Policy Choice: The Case of Pollution and Growth," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(2), pages 369-405, July.
    3. Mr. Robert M Heath, 1998. "The Statistical Measurement of Financial Derivatives," IMF Working Papers 1998/024, International Monetary Fund.
    4. Das, Sanjiv & Kalimipalli, Madhu & Nayak, Subhankar, 2014. "Did CDS trading improve the market for corporate bonds?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 495-525.
    5. Michael R. Darby, 1994. "Over-the-Counter Derivatives and Systemic Risk to the Global Financial System," NBER Working Papers 4801, National Bureau of Economic Research, Inc.
    6. Hirtle, Beverly, 2009. "Credit derivatives and bank credit supply," Journal of Financial Intermediation, Elsevier, vol. 18(2), pages 125-150, April.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Luigi Infante & Stefano Piermattei & Raffaele Santioni & Bianca Sorvillo, 2020. "Diversifying away risks through derivatives: an analysis of the Italian banking system," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 37(2), pages 621-657, July.

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    More about this item

    Keywords

    derivatives; financial accounts; banks;
    All these keywords.

    JEL classification:

    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

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