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A Risk Dashboard for the Italian Economy 意大利经济的风险仪表板
Bank of Italy Research Paper Series Pub Date : 2018-02-27 DOI: 10.2139/ssrn.3160804
F. Columba, F. Venditti, Alberto Maria Sorrentino
{"title":"A Risk Dashboard for the Italian Economy","authors":"F. Columba, F. Venditti, Alberto Maria Sorrentino","doi":"10.2139/ssrn.3160804","DOIUrl":"https://doi.org/10.2139/ssrn.3160804","url":null,"abstract":"In this paper we describe an analytical framework to assess financial stability risks in the Italian economy. We use a large number of indicators, selected to take into account the peculiarities of the Italian economy, to monitor risks in seven areas: interlinkages, the credit markets, the macroeconomic environment, funding conditions, the financial markets, and the banking and insurance sectors. Based on thresholds selected on the basis of either expert judgment or historical distributions, we construct risk heatmaps and derive aggregate scores for each of the above risk categories. By providing timely information on the buildup of risks, the proposed dashboard usefully complements other analytical tools currently used for developing and implementing macroprudential policy.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115142516","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}
引用次数: 8
Listening to the Buzz: Social Media Sentiment and Retail Depositors' Trust 听嗡嗡声:社交媒体情绪和零售储户的信任
Bank of Italy Research Paper Series Pub Date : 2018-02-27 DOI: 10.2139/ssrn.3160570
M. Accornero, Mirko Moscatelli
{"title":"Listening to the Buzz: Social Media Sentiment and Retail Depositors' Trust","authors":"M. Accornero, Mirko Moscatelli","doi":"10.2139/ssrn.3160570","DOIUrl":"https://doi.org/10.2139/ssrn.3160570","url":null,"abstract":"We investigate the relationship between the rumours on Twitter regarding banks and deposits growth. The sentiment expressed in tweets is analysed and employed for the nowcasting of retail deposits. We show that a Twitter-based indicator of sentiment improves the predictions of a standard benchmark model of depositor discipline based on financial data. We further improve the power of the model introducing a Twitter-based indicator of perceived interconnection, that takes into account spillover effects across banks.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"68 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131913429","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}
引用次数: 29
Productivity Growth in Italy: A Tale of a Slow-Motion Change 意大利的生产率增长:一个缓慢变化的故事
Bank of Italy Research Paper Series Pub Date : 2018-01-29 DOI: 10.2139/ssrn.3128850
Matteo Bugamelli, F. Lotti, Monica Amici, Emanuela Ciapanna, F. Colonna, F. D’Amuri, Silvia Giacomelli, A. Linarello, Francesco Manaresi, Giuliana Palumbo, Filippo Scoccianti, Enrico Sette
{"title":"Productivity Growth in Italy: A Tale of a Slow-Motion Change","authors":"Matteo Bugamelli, F. Lotti, Monica Amici, Emanuela Ciapanna, F. Colonna, F. D’Amuri, Silvia Giacomelli, A. Linarello, Francesco Manaresi, Giuliana Palumbo, Filippo Scoccianti, Enrico Sette","doi":"10.2139/ssrn.3128850","DOIUrl":"https://doi.org/10.2139/ssrn.3128850","url":null,"abstract":"Productivity is the main factor holding back long-term economic growth in Italy. Since the second half of the 1990s, productivity growth has been feeble both by historical standards and compared with the other main euro area countries. Understanding the reasons for such a performance and finding the most effective policy levers is crucial to increase Italy’s potential growth rate. Against this background, we provide a detailed analysis of the data and a critical review of the available empirical evidence to identify both the structural weaknesses limiting productivity growth and the strengths of the Italian productive system that may support it looking forward. Since the end of the 1990s and more intensively since the second half of 2011, the reform effort has been particularly effective in the regulation of product and labor markets and industrial policy. On other factors which are very relevant for productivity dynamics, the reform action has been less effective so far.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116536147","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}
引用次数: 93
Risks and Challenges of Complex Financial Instruments: An Analysis of SSM Banks 复杂金融工具的风险与挑战:对SSM银行的分析
Bank of Italy Research Paper Series Pub Date : 2017-12-28 DOI: 10.2139/ssrn.3123106
Rosario Roca, Francesco Potente, Luca Giulio Ciavoliello, A. Conciarelli, Giovanni Diprizio, Lanfranco Lodi, R. Mosca, T. Perez, Jacopo Raponi, Emiliano Sabatini, A. Schifino
{"title":"Risks and Challenges of Complex Financial Instruments: An Analysis of SSM Banks","authors":"Rosario Roca, Francesco Potente, Luca Giulio Ciavoliello, A. Conciarelli, Giovanni Diprizio, Lanfranco Lodi, R. Mosca, T. Perez, Jacopo Raponi, Emiliano Sabatini, A. Schifino","doi":"10.2139/ssrn.3123106","DOIUrl":"https://doi.org/10.2139/ssrn.3123106","url":null,"abstract":"We investigate the valuation risk affecting financial instruments classified as L2 and L3 for accounting purposes. These are instruments that are not directly traded in active markets and are often relatively complex, opaque and illiquid. There is a huge volume of L2 and L3 instruments in the balance sheets of SSM banks (around €6.8 trillion worth, considering both assets and liabilities). We argue that the complexity and opacity of these instruments create substantial room for discretionary accounting and prudential choices by financial intermediaries, which have incentives to use this discretion to their advantage. The current regulatory reporting standard is not sufficient to make a comprehensive assessment of the overall risks stemming from L2 and L3 instruments. We highlight that these instruments share some characteristics with NPLs (illiquidity, opacity), and argue that the risk they pose might also be comparable.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132793880","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}
引用次数: 14
Wage Growth in the Euro Area: Where Do We Stand? 欧元区的工资增长:我们站在哪里?
Bank of Italy Research Paper Series Pub Date : 2017-12-01 DOI: 10.2139/ssrn.3121142
Guido Bulligan, Elisa Guglielminetti, Eliana Viviano
{"title":"Wage Growth in the Euro Area: Where Do We Stand?","authors":"Guido Bulligan, Elisa Guglielminetti, Eliana Viviano","doi":"10.2139/ssrn.3121142","DOIUrl":"https://doi.org/10.2139/ssrn.3121142","url":null,"abstract":"One of the key questions about the current economic recovery in the euro area is why the decline in unemployment recorded since the second half of 2013 has been accompanied by subdued growth in nominal wages. In this paper we adopt a Phillips curve framework to assess whether alternative indicators of labour market slack can explain the current modest wage dynamics in the euro area and in its five largest economies. Our results suggest that the intensive margin of labour utilization plays a relevant role in wage growth: our estimates indicate that the shape of the Phillips curve becomes flatter for lower levels of hours per worker, implying that wage growth is less responsive to unemployment. Looking ahead, a significant recovery in the intensive margin appears key to achieve a robust increase in nominal wage growth.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131926535","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}
引用次数: 7
Public Investment and Monetary Policy Stance in the Euro Area 欧元区的公共投资和货币政策立场
Bank of Italy Research Paper Series Pub Date : 2017-12-01 DOI: 10.2139/ssrn.3084001
Lorenzo Burlon, A. Locarno, A. Notarpietro, M. Pisani
{"title":"Public Investment and Monetary Policy Stance in the Euro Area","authors":"Lorenzo Burlon, A. Locarno, A. Notarpietro, M. Pisani","doi":"10.2139/ssrn.3084001","DOIUrl":"https://doi.org/10.2139/ssrn.3084001","url":null,"abstract":"This paper evaluates the macroeconomic impact of a programme for public infrastructure spending in the euro area (EA) under alternative assumptions about funding sources and the monetary policy stance. The quantitative assessment is made by simulating a dynamic general equilibrium model of a monetary union with region-specific fiscal policy. The main results are the following. First, EA-wide stimuli are more effective than unilateral (region-specific) stimuli. Second, under EA-wide stimulus, the fiscal multiplier is close to 2 if the forward guidance (FG) on the short-term policy rate holds. Third, if the monetary authority keeps down both the policy rates (with FG) and the long-term interest rates (with quantitative easing), the fiscal multiplier exceeds 3 at peak and investment spending is self-financing. Fourth, the financing method is relevant: debt financing, particularly under an accommodative monetary policy stance and if the sovereign spreads do not increase, is more growth-friendly than tax financing in the short-term (but not in the long-term). Fifth, the effectiveness of the fiscal stimulus is larger if government spending is directed towards productive goods and its implementation occurs efficiently and without delays.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122295219","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}
引用次数: 30
I Recenti Sviluppi Delle Relazioni Industriali in Italia (Recent Developments of Italy's Industrial Relations System) 意大利劳资关系制度的最新发展
Bank of Italy Research Paper Series Pub Date : 2017-12-01 DOI: 10.2139/ssrn.3123102
Francesco D'Amuri, Raffaella Nizzi
{"title":"I Recenti Sviluppi Delle Relazioni Industriali in Italia (Recent Developments of Italy's Industrial Relations System)","authors":"Francesco D'Amuri, Raffaella Nizzi","doi":"10.2139/ssrn.3123102","DOIUrl":"https://doi.org/10.2139/ssrn.3123102","url":null,"abstract":"The article reviews the recent developments of Italy’s industrial relations system, covering both bargaining rules and outcomes. An increasing fragmentation is observable in collective bargaining at the national level, with the spread of new agreements amongst small and recently created associations of workers and employers, leading to lower labor costs. The role of decentralized bargaining has remained secondary and subordinate to the provisions decided at the national level, although several - gradually more generous tax breaks have been introduced in order to encourage the diffusion of firm-level wages. Giving decentralized bargaining a greater role in setting wages and in labour organization would allow for a better alignment of wage growth and increases in productivity, relaxing some of the rigidity in national bargaining, especially in terms of the duration of agreements and of the automatic indexing mechanisms, which risk making inflation more persistent.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115062733","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}
引用次数: 13
The Price of Cyber (In)Security: Evidence from the Italian Private Sector 网络安全的代价:来自意大利私营部门的证据
Bank of Italy Research Paper Series Pub Date : 2017-11-29 DOI: 10.2139/ssrn.3082195
Claudia Biancotti
{"title":"The Price of Cyber (In)Security: Evidence from the Italian Private Sector","authors":"Claudia Biancotti","doi":"10.2139/ssrn.3082195","DOIUrl":"https://doi.org/10.2139/ssrn.3082195","url":null,"abstract":"This paper presents evidence on the economic dimension of cyber risk in the Italian private non-financial sector, based on Bank of Italy survey data. In 2016, the median amount spent on preventing cyber attacks was a modest €4,530, i.e. 15 per cent of a typical worker’s annual gross wages. A wide variation exists across sectors and size classes, reflecting differences in how appealing a target a firm is to attackers and firms’ awareness of threats: median values range from €3,120 for small firms to €19,080 in the ICT sector and €44,590 for large firms. The market for cyber defence in our reference universe is worth at least €570 million. Having been attacked in the past proves to be a strong incentive to invest in security. The majority of breached firms suffered damages worth less than €10,000; 0.1 per cent reported costs of at least €200,000. Neither the sampling design nor the questionnaire were geared towards the measurement of tail events: underestimation of large incidents is likely. More information is needed before the economy-wide cost can be estimated.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130158237","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}
引用次数: 15
Credit Demand and Supply: A Two-Way Feedback Relation 信贷需求与供给:一种双向反馈关系
Bank of Italy Research Paper Series Pub Date : 2017-09-27 DOI: 10.2139/ssrn.3048287
Ugo Albertazzi, Lucia Esposito
{"title":"Credit Demand and Supply: A Two-Way Feedback Relation","authors":"Ugo Albertazzi, Lucia Esposito","doi":"10.2139/ssrn.3048287","DOIUrl":"https://doi.org/10.2139/ssrn.3048287","url":null,"abstract":"The model developed in this paper extends the framework of self-fulfilling credit market freezes proposed by Bebchuk and Goldstein (2011) by endogenizing firms' investments decisions. The existence of an aggregate investment threshold below which individual investment projects are unsuccessful creates a coordination failure not only among banks but also among firms and, crucially, between the two sides of the market. Because of the resulting strategic complementarities between firms and banks, low credit demand expectations reduce credit supply and viceversa. This two-way feedback loop explains why a severe slump in aggregate demand may be associated with a disruption in lending caused by a financial crisis. Replies to the euro area Bank Lending Survey by individual Italian banks provide support to the model's conclusions.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"100 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116166723","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}
引用次数: 23
Towards a More Efficient Use of Multilateral Development Banks’ Capital 如何更有效地利用多边开发银行的资本
Bank of Italy Research Paper Series Pub Date : 2017-09-01 DOI: 10.2139/ssrn.3056276
Riccardo Settimo
{"title":"Towards a More Efficient Use of Multilateral Development Banks’ Capital","authors":"Riccardo Settimo","doi":"10.2139/ssrn.3056276","DOIUrl":"https://doi.org/10.2139/ssrn.3056276","url":null,"abstract":"The increasing financing needs of the Sustainable Development Goals (SDGs), coupled with factors likely to restrain in the near future the growth of multilateral development banks’ (MDBs) own resources, call for maximizing capital efficiency. Focusing on 7 major MDBs – the IBRD, IFC, AfDB, EBRD, EIB, ADB and IADB – this paper contributes to this debate by: (a) quantifying their aggregate available lending capacity(capital resources and ratings being unchanged); (b) providing a preliminary estimate of the impact on these banks’ lending capacity if rating agencies (in particular, Standard and Poor’s) were to refine their methodologies to take into account ‘preferred creditor status’ and ‘single name concentration’, as suggested by other researchers. The analysis is replicated assuming that MDBs target an AA+ rating. The paper shows that appropriately refining rating procedures may indeed increase MDBs’ current overall lending capacity significantly, under both ‘triple-A’ and ‘AA+’ scenarios. At the same time, it makes clear that MDBs alone cannot satisfy what are anticipated to be the very substantial financing needs of SDG-related investments.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114901640","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}
引用次数: 6
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