Bank of Italy Research Paper Series最新文献

{"title":"Application of Classification Algorithms for the Assessment of Confirmation to Quality Remarks","authors":"Fabio Zambuto, S. Arcuti, R. Sabatini, D. Zambuto","doi":"10.2139/ssrn.3896315","DOIUrl":"https://doi.org/10.2139/ssrn.3896315","url":null,"abstract":"In the context of the data quality management of supervisory banking data, the Bank of Italy receives a significant number of data reports at various intervals from Italian banks. If any anomalies are found, a quality remark is sent back, questioning the data submitted. This process can lead to the bank in question confirming or revising the data it previously transmitted. We propose an innovative methodology, based on text mining and machine learning techniques, for the automatic processing of the data confirmations received from banks. A classification model is employed to predict whether these confirmations should be accepted or rejected based on the reasons provided by the reporting banks, the characteristics of the validation quality checks, and reporting behaviour across the banking system. The model was trained on past cases already labelled by data managers and its performance was assessed against a set of cross-checked cases that were used as gold standard. The empirical findings show that the methodology predicts the correct decisions on recurrent data confirmations and that the performance of the proposed model is comparable to that of data managers currently engaged in data analysis.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"9 22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116718807","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Alcune valutazioni sul probabile impatto demografico della crisi Covid-19 (An Assessment on the Potential Impact of COVID-19 on the Italian Demographic Structure)","authors":"G. Caracciolo, Salvatore Lo Bello, D. Pellegrino","doi":"10.2139/ssrn.3891614","DOIUrl":"https://doi.org/10.2139/ssrn.3891614","url":null,"abstract":"Italian Abstract: Rispetto a pandemie del passato, l’effetto della mortalità da Covid-19 sulla struttura demografica dovrebbe risultare più contenuto. Allo stesso tempo, potrebbero pesare in misura significativa gli effetti comportamentali della crisi economica associata alla pandemia, in termini di scelte di concepimento e migratorie. La letteratura sulla relazione tra ciclo economico e demografia evidenzia come il tasso di disoccupazione dimostri una buona capacità di predire l’evoluzione della fecondità e delle migrazioni. Sulla base di questa ipotesi, si stima l’elasticità del numero di nati per donna in età feconda e del tasso migratorio netto al variare del tasso di disoccupazione in Italia nel periodo 1980-2019. I coefficienti stimati vengono impiegati per una previsione dell’impatto della pandemia sulla natalità e sui flussi migratori nel periodo 2020-23, mentre si formulano diversi scenari sull’evoluzione successiva (2024-2065). Infine, si valutano le ripercussioni degli stessi fenomeni sulla struttura demografica, sull’andamento del PIL e del PIL pro capite. Secondo gli scenari proposti, e in assenza di politiche efficaci per la crescita, la crisi potrebbe aggravare il calo demografico atteso secondo le previsioni dell’Istat, con ricadute sostanziali sul prodotto.English Abstract: Relative to past pandemics, the mortality effects of Covid-19 on the demographic structure are likely smaller. However, the behavioural effects of the economic crisis on the decisions to have children and to migrate may be substantial. The literature on the relationship between the economic cycle and demographics uncovers the potential of the unemployment rate to predict fertility and migrations. Based on this evidence, we estimate the elasticity of the number of births per woman of child-bearing age and of the net migration rate to the unemployment rate in Italy, considering the 1980-2019 period. Accordingly, we forecast the impact of the pandemic on the birth rate and on migration flows in 2020-23, and we build alternative scenarios for the following years (2024-2065). Lastly, we examine the consequences of the same phenomena on the demographic structure and on GDP and on GDP per capita. Given the scenarios outlined in our work and in the absence of effective policies to support economic growth, the crisis may exacerbate the process of population ageing indicated by Istat projections, with significant repercussions for output.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"166 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124645531","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Managerial Talent and Managerial Practices: Are They Complements?","authors":"A. Baltrunaite, Giulia Bovini, S. Mocetti","doi":"10.2139/ssrn.3852829","DOIUrl":"https://doi.org/10.2139/ssrn.3852829","url":null,"abstract":"We examine the role of managerial talent and its interaction with managerial practices in determining firm performance. We build a matched firm-director panel dataset for the universe of limited liability companies in Italy, tracking individuals across different firms over time. We define managerial talent as management's capacity to boost firms' total factor productivity, estimated using a two-way fixed effects model. Combining the data with survey information on a representative sample of firms, we then document that our measure of talent correlates with ex-ante and ex-post indicators of ability, i.e. managers' educational attainment and their forecast precision with respect to the firm's future performance. Most important, we leverage information on the adoption of managerial practices within the firm to examine potential synergies between managerial talent and structured managerial practices, thus bridging two separate strands of the literature. While talent and structured practices do boost firm productivity on their own, there is evidence of complementarities between the two. These findings hold both in a cross-sectional setting and in a panel analysis that accounts for time-invariant firm heterogeneity. Overall, our results indicate that the effectiveness of managerial practices depends on managers' ability to implement them.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"1994 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125550773","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Can Internet Banking Affect Households' Participation in Financial Markets and Financial Awareness?","authors":"V. Michelangeli, Eliana Viviano","doi":"10.2139/ssrn.3852384","DOIUrl":"https://doi.org/10.2139/ssrn.3852384","url":null,"abstract":"We are in a digital era and more and more banks have begun to offer Internet banking. The availability of this new channel can reduce households' cost of acquiring information and the time spent on financial transactions; therefore, it could also impact on households' decisions to start investing in financial markets. Using an instrumental variable approach, we find that the adoption of Internet banking induces households to participate in financial markets and, in particular, to hold short‐term assets with a low risk/return profile. Over time, the adoption of Internet banking also drives a better understanding of basic financial concepts.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"560 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117031482","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Is Inflation Targeting a Strategy Past its Sell-by Date?","authors":"A. Locarno, Alessandra Locarno","doi":"10.2139/ssrn.3827481","DOIUrl":"https://doi.org/10.2139/ssrn.3827481","url":null,"abstract":"The paper compares the main monetary policy strategies to assess which one is the best performing in terms of both minimising the volatility of inflation and the output-gap and reducing the probability of falling into a liquidity trap. The strategies differ in the degree of history dependence and are assessed by means of a three-equation New Keynesian DSGE model, which is estimated with Bayesian methods on euro area data. Only optimal rules are considered for each strategy.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124223924","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"COVID-19 and Official Statistics: A Wakeup Call?","authors":"Claudia Biancotti, A. Rosolia, Giovanni Veronese, R. Kirchner, F. Mouriaux","doi":"10.2139/ssrn.3828122","DOIUrl":"https://doi.org/10.2139/ssrn.3828122","url":null,"abstract":"As COVID-19 spread globally, fast political decisions and the implementation of drastic measures were necessary to slow down proliferation and counter the economic disruption. The demand for broad, timely, high-frequency statistics about economic and health developments surged. At the same time, the pandemic outpaced the frequency at which most conventional statistics become available. Unconventional data helped to bridge these time lags, and to supply information on aspects of society not suitably covered by traditional official statistics, but that the need of the day suddenly made prominent for decision makers. The lesson from the COVID-19 crisis is that greater preparedness and flexibility in facing “future unknowns” is essential. Enabling users of statistics to quickly tap on data dimensions and relationships needed for their decisions when confronted with exceptional circumstances, is essential for guaranteeing salience and, ultimately, trustworthiness of official statistics.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125756832","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Will Multilateral Development Banks Weather the COVID-19 Crisis?","authors":"Riccardo Settimo, Raffaele De Marchi","doi":"10.2139/ssrn.3827514","DOIUrl":"https://doi.org/10.2139/ssrn.3827514","url":null,"abstract":"We assess the impact of the COVID-19 crisis on the financing capacity of the four major multilateral development banks (MDBs) specialized in sovereign lending (IBRD, ADB, IADB, AfDB), based on available capital buffers and while maintaining triple-A ratings. The capacity of MDBs to expand development exposures, on aggregate estimated in the range of $860-896 billion, would grow to $985-1,020 billion, benefiting from the capital increases approved recently. Simultaneously, a number of potential factors – such as the foreseeable increase in exposures due to the MDBs’ countercyclical role, the deterioration in the ratings of borrowing and non-borrowing member countries, and the possible weakening of ‘preferred creditor treatment’ (PCT) – could substantially erode this lending capacity, reducing it to $116-227 billion. Therefore, in the post-pandemic period, it will be crucial to preserve the PCT of MDBs, also in the hypothetical case of debt restructuring episodes. Other policy suggestions go in the direction of reviving balance sheet optimization initiatives, improving harmonization among MDBs’ risk-management procedures and securing credit risk guarantees from highly rated entities.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"131 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130779264","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Firms’ Leverage Across Business Cycles","authors":"Antonio De Socio","doi":"10.2139/ssrn.3826428","DOIUrl":"https://doi.org/10.2139/ssrn.3826428","url":null,"abstract":"Based on a large sample of mostly unlisted non-financial companies, this paper studies the relationship between business cycles and firms’ leverage, disentangling the relative contributions of debt and equity and assessing the role of firm size in explaining cross-sectional heterogeneity. I find that aggregate leverage initially increases during busts, as debt growth remains steady, while the counterbalancing contribution of equity is smaller; after one year, as debt slows down, leverage decreases. Moreover, firm size matters, also after controlling for other proxies of financial frictions (age, risk, profitability, debt structure): leverage increases more at the beginning of busts for both very large and smaller firms; after one year, leverage decreases less for the latter, mainly due to persistently lower profits.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134227543","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The In-house Credit Assessment System of Banca d'Italia","authors":"A. Levy, M. Orlandi, Filippo Giovannelli, Alessandra Iannamorelli","doi":"10.2139/ssrn.3746228","DOIUrl":"https://doi.org/10.2139/ssrn.3746228","url":null,"abstract":"Banca d’Italia’s In-house Credit Assessment System (ICAS) is one of the sources for the valuation of collateral agreed upon within the Eurosystem’s monetary policy framework. It helps to provide liquidity to those Italian banks that cannot rely on an internal model (IRB). Its role has become all the more important in the aftermath of the financial crisis relating to the COVID-19 pandemic of 2020. The paper first outlines the Eurosystem’s collateral framework and describes Banca d’Italia’s ICAS in terms of architecture and governance. It then presents in detail the underlying statistical model, including the definition of default adopted, and the validation process for the statistical model and for the expert system. The paper concludes by providing data on the amount of collateral pledged with an ICAS rating and on the main features, including the probabilities of default, of the Italian non-financial companies rated by the system.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116072927","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Bargaining Power and the Phillips Curve: A Micro-Macro Analysis","authors":"Marco J. Lombardi, M. Riggi, Eliana Viviano","doi":"10.2139/ssrn.3745925","DOIUrl":"https://doi.org/10.2139/ssrn.3745925","url":null,"abstract":"\u0000 We use a general equilibrium model to show that a decrease in workers’ bargaining power amplifies the contribution to the output gap of adjustments along the extensive versus intensive margin of labour utilization. Under standard assumptions on the disutility of labour, this mechanism reduces the cyclical movements of inflation relative to those of the output gap. Micro-level evidence, based on a survey of Italian firms, provides support to the relationship between bargaining power and a stronger adjustment along the extensive margin vs the intensive one, as well as to attenuated price response when firms adjust labour input mainly through the extensive margin. A Bayesian estimation using Italian aggregate data for the samples 1970-1990 and 1991-2014 confirms that the decline in workers’ bargaining power has weakened the inflation-output gap relationship.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128583028","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}