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Is bank portfolio riskiness procyclical: Evidence from Italy using a vector autoregression

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Cited by:

  1. Antonella Foglia, 2008. "Stress testing credit risk: a survey of authorities' approaches," Questioni di Economia e Finanza (Occasional Papers) 37, Bank of Italy, Economic Research and International Relations Area.
  2. Alessandra Canepa & Fawaz Khaled, 2018. "Housing, Housing Finance and Credit Risk," IJFS, MDPI, vol. 6(2), pages 1-23, May.
  3. Love, Inessa & Turk Ariss, Rima, 2014. "Macro-financial linkages in Egypt: A panel analysis of economic shocks and loan portfolio quality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 158-181.
  4. Zedginidze Zviad, 2012. "Linking Macroeconomic Dynamics to Georgian Credit Portfolio Risk," EERC Working Paper Series 12/07e, EERC Research Network, Russia and CIS.
  5. Gila-Gourgoura, E. & Nikolaidou, E., 2017. "Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence from the Spanish Banking System," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 10(1), pages 60-71, March.
  6. Ruja, Catalin, 2014. "Macro Stress-Testing Credit Risk in Romanian Banking System," MPRA Paper 58244, University Library of Munich, Germany.
  7. Simona Castellani & Chiara Pederzoli & Costanza Torricelli, 2008. "Indebtedness, macroeconomic conditions and banks’ loan losses: evidence from Italy," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08014, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  8. Baselga-Pascual, Laura & Vähämaa, Emilia, 2021. "Female leadership and bank performance in Latin America," Emerging Markets Review, Elsevier, vol. 48(C).
  9. Karolina Puławska, 2022. "Effects of the bank levy introduction on the interbank market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 844-864, January.
  10. Claudia Miani & Giulio Nicoletti & Alessandro Notarpietro & Massimiliano Pisani, 2012. "Banks� balance sheets and the macroeconomy in the Bank of Italy Quarterly Model," Questioni di Economia e Finanza (Occasional Papers) 135, Bank of Italy, Economic Research and International Relations Area.
  11. Stefano Puddu, 2013. "Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach," IRENE Working Papers 13-01, IRENE Institute of Economic Research.
  12. Paolo Guarda & Abdelaziz Rouabah & John Theal, 2011. "An MVAR Framework to Capture Extreme Events in Macroprudential Stress Tests," BCL working papers 63, Central Bank of Luxembourg.
  13. Saadaoui Zied, 2015. "The Cyclical Behaviour of Bank Capital Buffers: An Empirical Evidence for MENA Banking Systems," Review of Middle East Economics and Finance, De Gruyter, vol. 11(2), pages 145-182, August.
  14. Saleh Alodayni, 2016. "Oil Prices, Credit Risks in Banking Systems, and Macro-Financial Linkages across GCC Oil Exporters," IJFS, MDPI, vol. 4(4), pages 1-14, November.
  15. 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.
  16. Sebastiano Laviola & Juri Marcucci & Mario Quagliariello, 2006. "Stress testing credit risk: experience from the italian FSAP," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 59(238), pages 269-291.
  17. Ahmed Bouteska & Mehdi Mili, 2022. "Women’s leadership impact on risks and financial performance in banking: evidence from the Southeast Asian Countries," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 26(4), pages 1213-1244, December.
  18. Martin Macháček & Aleš Melecký & Monika Šulganová, 2018. "Macroeconomic Drivers of Non-Performing Loans: A Meta-Regression Analysis," Prague Economic Papers, Prague University of Economics and Business, vol. 2018(3), pages 351-374.
  19. Stefano Puddu, 2013. "Optimal Weights and Stress Banking Indexes," IRENE Working Papers 13-02, IRENE Institute of Economic Research.
  20. Coffinet, Jérôme & Coudert, Virginie & Pop, Adrian & Pouvelle, Cyril, 2012. "Two-way interplays between capital buffers and credit growth: Evidence from French banks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1110-1125.
  21. Antonella Foglia, 2009. "Stress Testing Credit Risk: A Survey of Authorities' Aproaches," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 9-45, September.
  22. repec:ipf:finteo:v:39:y:2015:i:3:p:139-169 is not listed on IDEAS
  23. Rasmus Kattai, 2010. "Credit risk model for the Estonian banking sector," Bank of Estonia Working Papers wp2010-01, Bank of Estonia, revised 04 Feb 2010.
  24. Abildgren, Kim, 2014. "Far out in the tails – The historical distributions of macro-financial risk factors in Denmark," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, vol. 2014(1), pages 1-31.
  25. Avignone, Giuseppe & Altunbas, Yener & Polizzi, Salvatore & Reghezza, Alessio, 2021. "Centralised or decentralised banking supervision? Evidence from European banks," Journal of International Money and Finance, Elsevier, vol. 110(C).
  26. Gutierrez Girault, Matias Alfredo, 2008. "Modeling extreme but plausible losses for credit risk: a stress testing framework for the Argentine Financial System," MPRA Paper 16378, University Library of Munich, Germany.
  27. Aleš Melecký & Martin Melecký & Monika Šulganová, 2015. "Úvěry v selhání a makroekonomika: modelování systémového kreditního rizika v České republice [Non-Performing Loans and The Macroeconomy: Modeling the Systemic Credit Risk in the Czech Republic]," Politická ekonomie, Prague University of Economics and Business, vol. 2015(8), pages 921-947.
  28. Liu, Guanchun & He, Lei & Yue, Yiding & Wang, Jiying, 2014. "The linkage between insurance activity and banking credit: Some evidence from dynamic analysis," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 239-265.
  29. Laivi Laidroo, 2014. "Lending Growth and Cyclicality in Central and Eastern European Banks," TUT Economic Research Series 13, Department of Finance and Economics, Tallinn University of Technology.
  30. Vasiliki Makri & Konstantinos Papadatos, 2014. "How accounting information and macroeconomic environment determine credit risk? Evidence from Greece," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 7(1), pages 129-143, April.
  31. Dua, Pami & Kapur, Hema, 2018. "Macro stress testing and resilience assessment of Indian banking," Journal of Policy Modeling, Elsevier, vol. 40(2), pages 452-475.
  32. Aykut Ekinci, 2016. "Rethinking Credit Risk under the Malinvestment Concept: The Case of Germany, Spain and Italy," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2016(1), pages 39-63.
  33. Mr. Reinout De Bock & Mr. Alexander Demyanets, 2012. "Bank Asset Quality in Emerging Markets: Determinants and Spillovers," IMF Working Papers 2012/071, International Monetary Fund.
  34. Hans Degryse & Sanja Jakovljević & Steven Ongena, 2015. "A Review of Empirical Research on the Design and Impact of Regulation in the Banking Sector," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 423-443, December.
  35. Athanasoglou, Panayiotis P. & Daniilidis, Ioannis & Delis, Manthos D., 2014. "Bank procyclicality and output: Issues and policies," Journal of Economics and Business, Elsevier, vol. 72(C), pages 58-83.
  36. Marcucci, Juri & Quagliariello, Mario, 2009. "Asymmetric effects of the business cycle on bank credit risk," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1624-1635, September.
  37. Calmès, Christian & Théoret, Raymond, 2020. "Bank fee-based shocks and the U.S. business cycle," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  38. Tajik, Mohammad & Aliakbari, Saeideh & Ghalia, Thaana & Kaffash, Sepideh, 2015. "House prices and credit risk: Evidence from the United States," Economic Modelling, Elsevier, vol. 51(C), pages 123-135.
  39. Baselga-Pascual, Laura & Trujillo-Ponce, Antonio & Cardone-Riportella, Clara, 2015. "Factors influencing bank risk in Europe: Evidence from the financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 138-166.
  40. Sreejata Banerjee & Divya Murali, 2015. "Stress Test of Banks in India: A VAR Approach," Working Papers 2015-102, Madras School of Economics,Chennai,India.
  41. Morone, Marco & Cornaglia, Anna, 2010. "An econometric model to quantify benchmark downturn LGD on residential mortgages," MPRA Paper 25588, University Library of Munich, Germany.
  42. Vasiliki Makri, 2016. "Towards an Investigation of Credit Risk Determinants in Eurozone Countries," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 15(1), pages 27-57, March.
  43. Gregoriou, Greg N. & Racicot, François-Éric & Théoret, Raymond, 2021. "The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach," Economic Modelling, Elsevier, vol. 94(C), pages 843-872.
  44. International Monetary Fund, 2010. "Colombia: Selected Issues Paper," IMF Staff Country Reports 2010/106, International Monetary Fund.
  45. Antonio Salvi & Candida Bussoli & Lavinia Conca & Marisa Gigante, 2021. "Determinants of Non-Performing Loans: Evidence from Europe," International Journal of Business and Management, Canadian Center of Science and Education, vol. 13(10), pages 230-230, July.
  46. Rui Pascoal, 2012. "Macroeconomic Factors of Household Default. Is There Myopic Behaviour?," GEMF Working Papers 2012-20, GEMF, Faculty of Economics, University of Coimbra.
  47. Niyogi Sinha Roy, Tanima & Bhattacharya, Basabi, 2011. "Macroeconomic Stress Testing and the Resilience of the Indian Banking System: A Focus on Credit Risk," MPRA Paper 30263, University Library of Munich, Germany.
  48. Caporale, Guglielmo Maria & Di Colli, Stefano & Lopez, Juan Sergio, 2014. "Bank lending procyclicality and credit quality during financial crises," Economic Modelling, Elsevier, vol. 43(C), pages 142-157.
  49. Kellen Kiambati, 2020. "Influence of credit risk on shareholder market value of commercial banks listed in Nairobi Securities Exchange," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 9(2), pages 107-117, March.
  50. Baltas, Konstantinos N. & Kapetanios, George & Tsionas, Efthymios & Izzeldin, Marwan, 2017. "Liquidity creation through efficient M&As: A viable solution for vulnerable banking systems? Evidence from a stress test under a panel VAR methodology," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 36-56.
  51. Marcello Pagnini & Paola Rossi & Valerio Vacca & Vincenzo Chiorazzo & Vincenzo D'Apice & Pierluigi Morelli & Giovanni Walter Puopolo, 2017. "Economic Activity and Credit Market Linkages: New Evidence From Italy," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 46(3), pages 491-526, November.
  52. repec:prg:jnlpep:v:preprint:id:656:p:1-24 is not listed on IDEAS
  53. Pami Dua & Hema Kapur, 2017. "Macro Stress Testing of Indian Bank Groups," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 11(4), pages 375-403, November.
  54. Ms. Mwanza Nkusu, 2011. "Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies," IMF Working Papers 2011/161, International Monetary Fund.
  55. Abildgren, Kim, 2012. "Business cycles, monetary transmission and shocks to financial stability: empirical evidence from a new set of Danish quarterly national accounts 1948-2010," Working Paper Series 1458, European Central Bank.
  56. Ana Kundid Novokmet, 2015. "Cyclicality of bank capital buffers in South-Eastern Europe: endogenous and exogenous aspects," Financial Theory and Practice, Institute of Public Finance, vol. 39(2), pages 139-169.
  57. Laura Baselga-Pascual & Olga Del Orden-Olasagasti & Antonio Trujillo-Ponce, 2018. "Toward a More Resilient Financial System: Should Banks Be Diversified?," Sustainability, MDPI, vol. 10(6), pages 1-16, June.
  58. Miyajima Ken, 2017. "An Empirical Investigation of Oil-Macro-financial Linkages in Saudi Arabia," Review of Middle East Economics and Finance, De Gruyter, vol. 13(2), pages 1-15, August.
  59. Bogdan-Gabriel MOINESCU, 2012. "Determinants Of Nonperforming Loans In Central And Eastern European Countries: Macroeconomic Indicators And Credit Discipline," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 47-58, December.
  60. Del Gaudio, Belinda L. & Megaravalli, Amith V. & Sampagnaro, Gabriele & Verdoliva, Vincenzo, 2020. "Mandatory disclosure tone and bank risk-taking: Evidence from Europe," Economics Letters, Elsevier, vol. 186(C).
  61. Simona Castellani & Chiara Pederzoli & Costanza Torricelli, 2008. "Indebtedness, macroeconomic conditions and banks’ loan losses: evidence from Italy," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0009, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  62. Chiara Pederzoli & Costanza Torricelli & Simona Castellani, 2010. "The Interaction of Financial Fragility and the Business Cycle in Determining Banks’ Loan Losses: An Investigation of the Italian Case," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(3), pages 129-146, November.
  63. Panayiotis P. Athanasoglou & Ioannis Daniilidis, 2011. "Procyclicality in the banking industry: causes, consequences and response," Working Papers 139, Bank of Greece.
  64. Vasiliki Makri, 2015. "What Triggers Loan Losses? An Empirical Investigation of Greek Financial Sector," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 65(3-4), pages 119-143, july-Dece.
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