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The Effect of Organized Crime on Public Funds 有组织犯罪对公共资金的影响
Bank of Italy Research Paper Series Pub Date : 2013-06-20 DOI: 10.2139/ssrn.2281920
Guglielmo Barone, Gaia Narciso
{"title":"The Effect of Organized Crime on Public Funds","authors":"Guglielmo Barone, Gaia Narciso","doi":"10.2139/ssrn.2281920","DOIUrl":"https://doi.org/10.2139/ssrn.2281920","url":null,"abstract":"Organized crime is widely regarded as damaging to the economy, to say nothing of peoplei?½s lives. Yet little is known about the mechanism at work. This paper helps fill the gap by analyzing the impact of organized crime on the allocation of public subsidies to businesses. We assemble an innovative data set on Italian mafia crimes at municipal level and test whether organized crime diverts public funding. We exploit exogenous variations at the level of municipalities to instrument current mafia-style activity by using exogenous shifters of land productivity in the 19th century. Our results show that the presence of organized crime positively affects both the extensive margin (probability of funding) and the intensive margin (amount of public funding to enterprises). The impact is economically relevant and equal to at least one standard deviation of the dependent variable. Organized crime is also found to cause episodes of corruption in the public administration. A series of robustness checks confirm the findings. Our results suggest that geographically targeted aid policies should be careful to take local crime conditions into account.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"68 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128361398","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: 33
Forward-Looking Robust Portfolio Selection 前瞻性稳健的投资组合选择
Bank of Italy Research Paper Series Pub Date : 2013-06-01 DOI: 10.2139/ssrn.2281906
Sara Cecchetti, Laura Sigalotti
{"title":"Forward-Looking Robust Portfolio Selection","authors":"Sara Cecchetti, Laura Sigalotti","doi":"10.2139/ssrn.2281906","DOIUrl":"https://doi.org/10.2139/ssrn.2281906","url":null,"abstract":"In this paper we develop a portfolio optimization strategy based on the extraction of option-implied distributions and the application of robust asset allocation. We compute the option-implied probability density functions of the constituents of the Euro Stoxx 50 Index. To obtain the corresponding risk-adjusted densities, we estimate the risk aversion coefficient through a Berkowitz likelihood test. The correlation structure among the stocks is computed via an ad hoc technique, which provides a correction term for the historical correlations. We implement a robust portfolio construction, in order to incorporate the uncertainty about the estimation error for the expected returns in the optimization procedure.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125127880","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 Supply During a Sovereign Debt Crisis 主权债务危机期间的信贷供应
Bank of Italy Research Paper Series Pub Date : 2013-04-24 DOI: 10.2139/ssrn.2259657
Marcello Bofondi, Luisa Carpinelli, Enrico Sette
{"title":"Credit Supply During a Sovereign Debt Crisis","authors":"Marcello Bofondi, Luisa Carpinelli, Enrico Sette","doi":"10.2139/ssrn.2259657","DOIUrl":"https://doi.org/10.2139/ssrn.2259657","url":null,"abstract":"We study the effect of the increase in Italian sovereign debt risk on credit supply on a sample of 670,000 bank-firm relationships between December 2010 and December 2011, drawn from the Italian Central Credit Register. To identify a causal link, we exploit the lower impact of sovereign risk on foreign banks operating in Italy than on domestic banks. We study firms borrowing from at least two banks and include firm x period fixed effects in all regressions to controlling for unobserved firm heterogeneity. We find that Italian banks tightened credit supply: the lending of Italian banks grew by about 3 percentage points less than that of foreign banks, and their interest rates were 15-20 basis points higher, after the outbreak of the sovereign debt crisis. We test robustness by splitting foreign banks into branches and subsidiaries, and then examine whether selected bank characteristics may have amplified or mitigated the impact. We also study the extensive margin of credit, analyzing banks' propensity to terminate existing relationships and to grant new loan applications. Finally, we test whether firms were able to compensate for the reduction of credit from Italian banks by borrowing more from foreign banks. We find that this was not the case, so that the sovereign crisis had an aggregate impact on credit supply.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127687303","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: 373
Trust and Preferences: Evidence from Survey Data 信任与偏好:来自调查数据的证据
Bank of Italy Research Paper Series Pub Date : 2013-04-24 DOI: 10.2139/ssrn.2259686
Giuseppe Albanese, G. de Blasio, P. Sestito
{"title":"Trust and Preferences: Evidence from Survey Data","authors":"Giuseppe Albanese, G. de Blasio, P. Sestito","doi":"10.2139/ssrn.2259686","DOIUrl":"https://doi.org/10.2139/ssrn.2259686","url":null,"abstract":"This paper considers the role of preferences in explaining trust. By using the Bank of Italyi?½s Survey on Household Income and Wealth (SHIW), the paper shows that time preferences and risk preferences are key covariates of self-reported trust. They both predict negatively a measure of generalized trust; however, risk aversion is positively correlated with an index of particularized trusting behaviour (which refers to family and friends). Moreover, the results are robust to using a different data source to gauge the role of social preferences and personality traits. The study highlights that neglecting preferences when analysing the role of trust in explaining socio-economic outcomes might pose serious challenges in terms of omitted variables.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131208715","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: 12
Does Financial Education at School Work? Evidence from Italy 学校的金融教育是否有效?来自意大利的证据
Bank of Italy Research Paper Series Pub Date : 2013-04-10 DOI: 10.2139/ssrn.2260330
Angela Romagnoli, Maurizio Trifilidis
{"title":"Does Financial Education at School Work? Evidence from Italy","authors":"Angela Romagnoli, Maurizio Trifilidis","doi":"10.2139/ssrn.2260330","DOIUrl":"https://doi.org/10.2139/ssrn.2260330","url":null,"abstract":"In the 2008-09 school year the Bank of Italy and the Italian Ministry of Education started an experimental program to incorporate financial education into school curricula. This paper describes the experience since then. According to the program, teachers receive training from the Bank on financial topics and then move on to classroom teaching. The effect of classroom teaching on pupils’ financial knowledge is measured by tests. The empirical evidence shows that the program proved successful in increasing the financial knowledge of pupils, for longer than one year.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125137435","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: 33
La ricchezza immobiliare delle famiglie italiane: un confronto fra dati campionari e censuari (The Housing Wealth of Italian Households: A Comparison of Administrative and Survey Data) 意大利家庭的房地产财富:样本和普查数据的比较
Bank of Italy Research Paper Series Pub Date : 2013-01-30 DOI: 10.2139/SSRN.2210432
A. Neri, M. Monteduro
{"title":"La ricchezza immobiliare delle famiglie italiane: un confronto fra dati campionari e censuari (The Housing Wealth of Italian Households: A Comparison of Administrative and Survey Data)","authors":"A. Neri, M. Monteduro","doi":"10.2139/SSRN.2210432","DOIUrl":"https://doi.org/10.2139/SSRN.2210432","url":null,"abstract":"We study the distribution of housing wealth in Italy using data from a sample survey (the survey on household income and wealth) and from administrative records regarding real estate owners held by the Italian Department of the Treasury. Our results show that owners with either a low or a high number of properties are under-represented in the survey. After adjusting survey data using the information from the administrative records, average housing wealth increases by some 25 per cent (in relation to the survey results). We find no clear evidence of a bias in the estimate of the level of inequality nor in the association between housing wealth and socio-demographic characteristics.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"130 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120880972","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: 5
A Dynamic Default Dependence Model 动态默认依赖模型
Bank of Italy Research Paper Series Pub Date : 2012-11-29 DOI: 10.2139/ssrn.2207930
Sara Cecchetti, G. Nappo
{"title":"A Dynamic Default Dependence Model","authors":"Sara Cecchetti, G. Nappo","doi":"10.2139/ssrn.2207930","DOIUrl":"https://doi.org/10.2139/ssrn.2207930","url":null,"abstract":"We develop a dynamic multivariate default model for a portfolio of credit-risky assets in which default times are modelled as random variables with possibly different marginal distributions, and Li?½vy subordinators are used to model the dependence among default times. In particular, we define a cumulative dynamic hazard process as a Li?½vy subordinator, which allows for jumps and induces positive probabilities of joint defaults. We allow the main asset classes in the portfolio to have different cumulative default probabilities and corresponding different cumulative hazard processes. Under this heterogeneous assumption we compute the portfolio loss distribution in closed form. Using an approximation of the loss distribution, we calibrate the model to the tranches of the iTraxx Europe. Once the multivariate default distribution has been estimated, we analyse the distress dependence in the portfolio by computing indicators of systemic risk, such as the Stability Index, the Distress Dependence Matrix and the Probability of Cascade Effects.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124862073","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: 0
Start-Up Banks’ Default and the Role of Capital 创业银行的违约与资本的作用
Bank of Italy Research Paper Series Pub Date : 2012-11-29 DOI: 10.2139/ssrn.2206389
Massimo Libertucci, Francesco Piersante
{"title":"Start-Up Banks’ Default and the Role of Capital","authors":"Massimo Libertucci, Francesco Piersante","doi":"10.2139/ssrn.2206389","DOIUrl":"https://doi.org/10.2139/ssrn.2206389","url":null,"abstract":"Regulation requires banks to hold a minimum capital endowment upon their establishment. But what role does initial capital play in a banki?½s lifecycle? This paper addresses the issue for start-up banks. We use both survival-time and binary choice models for a sample of newly-established Italian banks in the period 1994-2006, controlling for a broad set of possible drivers of default, such as market, managerial and financial variables. Our results suggest that initial capital does play a leading role in explaining both the timing and the likelihood of a failure. Other important drivers are organisation and a balanced growth path, while market and management variables appear to play a minor role. We then turn to a quasi-experimental design: exploiting a regulatory shift in 1999 we run a counterfactual analysis of the impact of a regulatory tightening of initial capital, which affected only a subsample of banks. The set of results suggests that the effect on banksi?½ survival may be significant.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"86 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115332422","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: 25
Macroprudential, Microprudential and Monetary Policies: Conflicts, Complementarities and Trade-Offs 宏观审慎、微观审慎与货币政策:冲突、互补与权衡
Bank of Italy Research Paper Series Pub Date : 2012-11-16 DOI: 10.2139/ssrn.2178394
P. Angelini, S. Nicoletti-Altimari, I. Visco
{"title":"Macroprudential, Microprudential and Monetary Policies: Conflicts, Complementarities and Trade-Offs","authors":"P. Angelini, S. Nicoletti-Altimari, I. Visco","doi":"10.2139/ssrn.2178394","DOIUrl":"https://doi.org/10.2139/ssrn.2178394","url":null,"abstract":"We review the recent literature on macroprudential policy and its interaction with other policies, extracting several points. First, there are externalities in the financial sector, often in the form of excessive credit growth. Second, monetary policy needs to take financial stability into account. Third, macroprudential instruments can moderate the financial cycle. Finally, there are complementarities between monetary and macroprudential policies, but also potential conflict. We then relate these points to recent events in the euro area where, following the sovereign debt crisis, a retrenchment of finance within national borders is taking place, amplifying the divergences across economies. We argue that in principle national authorities would like to adjust macroprudential instruments to compensate for the highly heterogeneous financial conditions, but at present they have little leeway to do so, since in the run-up to the crisis insufficient capital buffers had been accumulated. Various factors may explain low bank capitalization levels worldwide. We discuss the role of risk-weighted assets, which may have inadequately captured actual risks in many jurisdictions; we also document that European and US banks’ capital ratios decline monotonically with bank size. This confirms that key features of the microprudential apparatus are crucial for preventing financial instability.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123740047","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: 42
A Structural Model for the Housing and Credit Markets in Italy 意大利住房和信贷市场的结构模型
Bank of Italy Research Paper Series Pub Date : 2012-10-26 DOI: 10.2139/ssrn.2182618
A. Nobili, Francesco Zollino
{"title":"A Structural Model for the Housing and Credit Markets in Italy","authors":"A. Nobili, Francesco Zollino","doi":"10.2139/ssrn.2182618","DOIUrl":"https://doi.org/10.2139/ssrn.2182618","url":null,"abstract":"In this paper we estimate a fully-fledged structural system for the housing market in Italy, taking into account the multi-fold link with bank lending to both households and construction firms. The model allows the house supply to vary in the short-run and the banking sector to affect the equilibrium in the housing market, through its effect on housing supply and demand. We show that house prices react mostly to standard drivers such as, disposable income and demographic pressures. Lending conditions also exert a significant impact, especially through their effects on mortgage loans, and consequently on housing demand. Allowing short-run adjustment in house supply implies a weaker response of house prices to a change in monetary policy or in banks’ deleveraging process. Finally, we find that since the mid-80s house price developments in Italy have been broadly in line with fundamentals; during the global financial crisis, the worsening in credit supply conditions dampened house price dynamics, partly offsetting the positive stimulus provided by the loosing monetary policy stance.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134175892","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: 171
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