Bank of Italy Research Paper Series最新文献

{"title":"Measurement Errors in Consumption Surveys and the Estimation of Poverty and Inequality Indices","authors":"G. D’Alessio","doi":"10.2139/ssrn.3025469","DOIUrl":"https://doi.org/10.2139/ssrn.3025469","url":null,"abstract":"This paper firstly aims to evaluate the incidence of measurement error affecting the main variables collected in surveys on consumption. The assessment is carried out on two Tanzania surveys which provide both diary and panel data. Diary data can be employed to obtain reliability coefficients for time-invariant variables. When variables vary over time, as in the case of panel data, an estimation of the incidence of measurement error on the total variance can be obtained by applying models which allow the decomposition of observed variability into true dynamics and noise (e.g. the Heise model and the latent Markov model). Some evaluations of the reliability of the data are also conducted on the basis of the internal consistency criterion, an approach that does not require panel data. On the basis of the reliability estimates obtained, examples of possible impacts of measurement errors on poverty analysis are briefly discussed. These experiments clearly show the importance of the topic in poverty and inequality data analysis.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128871242","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 Collateral Channel of Unconventional Monetary Policy","authors":"G. Ferrero, M. Loberto, M. Miccoli","doi":"10.2139/ssrn.3026019","DOIUrl":"https://doi.org/10.2139/ssrn.3026019","url":null,"abstract":"We build a general equilibrium model - along the lines of Williamson (2012) - where financial assets can be used as collateral in secured interbank markets to obtain reserves (central bank money). In this framework, frictions in the exchange process give rise to a liquidity premium for assets. An open market operation that provides reserves in exchange for assets decreases the availability of collateral by increasing its liquidity premium (and decreasing its return). The magnitude of the effect depends on assets' pledgeability properties (haircuts). We explore the positive implications of the model shown in the data. Focusing on the period 2009-2014, we analyse the relationship between yields of euro-area government bonds and the relative amount of bonds and central bank reserves held by the euro-area banking sector. We find evidence consistent with our model: yields decrease when reserves increase relative to bonds, with the effect being stronger at lower levels of haircuts. The results are confirmed after several robustness checks.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131411866","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":"Services Trade and Credit Frictions: Evidence from Matched Bank-Firm Data","authors":"Francesco Bripi, David Loschiavo, D. Revelli","doi":"10.2139/ssrn.2964811","DOIUrl":"https://doi.org/10.2139/ssrn.2964811","url":null,"abstract":"This paper investigates the relationship between bank credit and exports of services by Italian firms. In order to identify the role of credit supply in services exports we use matched data on bank-firm relationships and the shocks affecting banks’ funding during the sovereign debt crisis. The study suggests that credit supply shocks had a significant impact on services exports: a bank credit reduction of 1% led to a fall in exports of about 0.40%. These results hold even after controlling for alternative sources of firms’ external finance, unobserved credit demand heterogeneity and a number of robustness checks.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128462130","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":"I Rifugiati E I Richiedenti Asilo in Italia, Nel Confronto Europeo (Refugees and Asylum Seekers in Italy and in the EU)","authors":"Rosario Maria Ballatore, Adele Grompone, Lucia Lucci, Patrizia Passiglia, A. Sechi","doi":"10.2139/SSRN.2964883","DOIUrl":"https://doi.org/10.2139/SSRN.2964883","url":null,"abstract":"Italian Abstract: Il lavoro fornisce un quadro descrittivo dei recenti flussi di richiedenti asilo in Italia e nell’Unione Europea. Dopo aver esaminato le dinamiche degli ingressi irregolari e delle richieste di protezione internazionale, si analizzano le differenze a livello europeo nell’applicazione delle politiche di asilo, mostrando significative eterogeneità nei tassi di accettazione delle domande, nella tipologia di protezione concessa e nella velocità di esame delle richieste. Si presenta poi il funzionamento del sistema di accoglienza in Italia, discutendone le principali criticità, come l’elevata frammentazione delle strutture e i tempi eccessivi di permanenza nei centri. Infine si illustra la performance occupazionale degli immigrati, distinguendo tra i rifugiati e richiedenti asilo e i migranti per motivi economici, mostrando come i primi registrino una minore probabilità di impiego e un’integrazione più lenta nel mercato del lavoro. English Abstract: The paper lays out a descriptive framework for the recent flows of asylum seekers into Italy and the European Union. After examining the dynamics of illegal entries and applications for international protection, we analyse the differences in how asylum policies are implemented at European level, with the greatest diversity found in the application acceptance rates, the type of protection granted and the speed with which requests are examined. We then take a look at the Italian reception system, discuss its main problems, such as the high degree of fragmentation of reception facilities, and analyse its operating costs. Finally, we discuss the employment performance of immigrants, distinguishing between refugees/asylum seekers and economic migrants, with the former showing a lower probability of employment and slower integration into the labor market.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121052890","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":"La Giostra Degli Insegnanti: Precariato E Turnover Nell’Ultimo Biennio (The Teachers’ Merry-Go-Round: Job Insecurity and Staff Turnover Over the Last 2 Years)","authors":"Gianna Barbieri, P. Sestito","doi":"10.2139/ssrn.2964885","DOIUrl":"https://doi.org/10.2139/ssrn.2964885","url":null,"abstract":"Italian Abstract: Si descrive l’evoluzione recente del precariato e del turnover nel sistema scolastico italiano, un sistema che ha tradizionalmente sofferto per i molti precari e l’elevata mobilità del personale. Su tali fenomeni ha influito il piano assunzionale straordinario del 2015 e il successivo piano straordinario di mobilità. Gli iscritti alle graduatorie a esaurimento (congelate da un decennio) si sono ridotti (da 124 a 47mila, a cui peraltro vanno aggiunti 34mila iscritti con riserva a seguito di sentenza del Consiglio di Stato). Il precariato è rimasto consistente: gli incarichi annuali sono passati da 118 a 126mila, dal 14,6 al 14,4% come quota della compagine complessiva del personale, nel frattempo cresciuta. Tra i docenti con incarico annuale sono cresciuti quelli, mediamente più giovani, iscritti nelle cosiddette graduatorie d’istituto, graduatorie per le quali permane la possibilità di accesso senza necessità di un passaggio per un tirocinio post universitario. La mobilità e il turnover, anche al netto del notevole numero di riassegnazioni del personale intervenute durante l’ultimo anno scolastico, si sono impennati. English Abstract: The paper illustrates the recent trends in the use of contract staff and in staff turnover in the Italian education system, traditionally plagued by high levels of job insecurity and turnover. The system has been affected by the extraordinary scheme for hiring permanent teachers in 2015 and a mobility and reallocation plan the following year. The number of people on the national list of untenured teachers (frozen about 10 years ago) shrank from 124,000 to 47,000 (to which we should, however, add another 34,000 teachers added to a reserve list following a judgment by the State Council). The use of contract staff remained largely unchanged: the number of annual job contracts rose from 118,000 to 126,000, and fell from 14.6 to 14.4% as a share of total staff, the numbers of which have grown in the meantime. The share of those on the local lists of supply teachers (yet not required to follow a postgraduate internship program) increased among teachers with a yearly contract, who are on average younger than before. Staff mobility and turnover rose sharply, regardless of problems with implementation which led to a considerable rise in staff reassignment in the last school year.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"1994 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131148220","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 IMF Safety Net and Emerging Markets' Sovereign Spreads","authors":"Claudia Maurini","doi":"10.2139/ssrn.2954986","DOIUrl":"https://doi.org/10.2139/ssrn.2954986","url":null,"abstract":"This paper assesses empirically the effectiveness of the IMF as a component of the Global Financial Safety Net by running a panel regression on a sample of emerging market countries’ sovereign spreads. In particular, we check if the size of the Fund’s lending capacity and the introduction of the new precautionary facilities play a role in explaining emerging market countries’ spreads, after controlling for the traditional determinants of the spreads reported in the literature. From a policy perspective, the empirical evidence presented in this paper can provide a basis for assessing the potential gains from a stronger role of the IMF and of the GFSN in general, an important issue in the current international debate. We find that what appears to matter most are the overall resources avail- able for lending by the IMF, rather than the channels through which such resources can be accessed by members.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"109 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124708804","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":"An Indicator of Inflation Expectations Anchoring","authors":"Filippo Natoli, Laura Sigalotti","doi":"10.2139/ssrn.2947016","DOIUrl":"https://doi.org/10.2139/ssrn.2947016","url":null,"abstract":"We compare the degree of anchoring of inflation expectations in the euro area, the United States and the United Kingdom, focusing on the post-crisis period. First of all, we estimate a set of measures of average and tail correlation using inflation swaps and options, as proposed by Natoli and Sigalotti (2016). To quantify the degree of anchoring, we also propose a new indicator based on the results of a logistic regression, obtained by measuring the odds that strong negative shocks to short-term expectations are connected to large declines in long-term expectations. The results reveal an increase in the risk of de-anchoring during the last quarter of 2014 for the euro area. While showing a significant reduction after the peak, our de-anchoring indicator remains high and volatile for 2015 and 2016. Inflation expectations in the US and the UK are instead found to be firmly anchored.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"119 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116819094","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":"Self-Fulfilling Deflations","authors":"R. Piazza","doi":"10.2139/ssrn.2896787","DOIUrl":"https://doi.org/10.2139/ssrn.2896787","url":null,"abstract":"What types of monetary and fiscal policy rules produce self-fulfilling deflationary paths that are monotonic and empirically relevant? This paper presents simple theoretical conditions that guarantee the existence of these paths in a general equilibrium model with sticky prices. These sufficient conditions are weak enough to be satisfied by most monetary and fiscal policy rules. A quantification of the model which combines a real shock a la Hayashi and Prescott (2002) with a simultaneous sunspot that deanchors inflation expectations matches the main empirical features of the Japanese deflationary process during the “lost decade”. The results also highlight the key role of the assumption about the anchoring of inflation expectations for the size of fiscal multipliers and, in general, for any policy analysis.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125181882","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":"Emerging Market Portfolio Strategies, Investment Performance, Transaction Cost and Liquidity Risk","authors":"Roberto Violi, Enrico Camerini","doi":"10.2139/ssrn.3127422","DOIUrl":"https://doi.org/10.2139/ssrn.3127422","url":null,"abstract":"Emerging equity and fixed income markets (EM) have generally been open to foreign investors for more than two decades now, and much has been learned about their risk-and-return properties during that time. As EM are now more investable than ever, increased integration may have reduced opportunities for investors searching for higher yields, as they look for high expected returns from assets that can be purchased at prices cheaper than comparable assets in developed countries. Today, the question is whether the empirical evidence would still suggest that there is a significant benefit to including EM assets in a globally diversified portfolio. Also, taking into consideration all the relevant risk characteristics, do emerging markets have more downside risk than developed markets. \u0000The goal of this paper was to explore the prominent risk drivers in the EM space, as we showed significant continuity and variation vis-a-vis developed markets with conditions changing across different markets, countries, sectors and over time. We argued the case for EM as a relevant asset class overall. We found that country factors still dominate cross-country valuations; investment barriers and other country factors are priced in, but ‘risk appetite’ factors are important as well. High country-specific volatility can be diversified away, and a diversified basket of EM is not necessarily riskier than a DM one and the high individual country volatility and country factors create potentially useful investment opportunities for active asset managers. All in all, EM assets still have higher risk than most developed markets (DM) and, as a result, continue to command higher expected returns. \u0000As factor investing has become increasingly popular in DM, we show that risk factor-based investment strategies have historically worked in EM too. While we focus most of our discussion on equities, other asset classes have gained more prominence over time, such as corporate bond market and frontier emerging markets. Since these latter markets are currently less well-integrated within the global economy, investors having exposure to these markets can cushion themselves against extreme movements in their portfolio returns. Institutional investors still appeared to be underweight in EM and there is considerable dispersion across different institutions. Investors’ overall preference tends to favour broad-based exposure to EM, i.e. not limiting themselves to a specific subset of investment opportunities. In addition, EM assets are increasingly being viewed as an integrated part of global equity allocation. \u0000Lower transaction costs and increasing market liquidity have played an important role in fostering the expansion of the investor base in EM, however, transaction data – such as bid-ask spreads or market impact estimates – and estimated liquidity measure continue to show a wide gap vis-a-vis DM. Moreover, when liquidity is priced in, local risk factors matter even under the hypothesis of ","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"133 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122045810","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":"Search Costs and the Severity of Adverse Selection","authors":"F. Palazzo","doi":"10.2139/ssrn.2867426","DOIUrl":"https://doi.org/10.2139/ssrn.2867426","url":null,"abstract":"In view of some recent empirical evidence, I suggest a relationship between the magnitude of search costs and the severity of adverse selection in the context of a dynamic model with asymmetric information. In markets with small search costs sellers with low quality products misrepresent their quality and demand a high price. If instead search costs are not negligible and buyers receive sufficiently precise signals, sellers’ price offers are truthful and all product qualities are traded over time. In markets with small search costs, a budget balanced mechanism can avoid to exacerbate adverse selection: sellers should pay a per period market participation tax and receive a rebate after trading.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"154 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133166926","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}