The Impact of the Financial Crisis on Inter-Bank Funding: Evidence from Italian Balance Sheet Data

32 Pages Posted: 7 Dec 2011

See all articles by Giuseppe Cappelletti

Giuseppe Cappelletti

Bank of Italy

Antonio De Socio

Bank of Italy

Giovanni Guazzarotti

Bank of Italy

Enrico Mallucci

Board of Governors of the Federal Reserve System

Date Written: July 14, 2011

Abstract

We analyze the impact of the financial crisis on the structure and the dynamics of the Italian inter-bank market, focusing on monthly banks’ assets and liabilities data between January 2007 and December 2010. The analysis is developed using an ad hoc data-set based on supervisory reports. The data contain nominative information, which allow us to identify different reporting entities and counterparts. We distinguish between intra-group and extra-group transactions, domestic and foreign counter parties, secured and unsecured positions, and short and long-term loans. We also analyze the relationships between big, medium and small groups and characterize the direction of funds between the group parent companies and the other banks of the group.

Keywords: interbank market, financial crisis

JEL Classification: G21, C23, C24

Suggested Citation

Cappelletti, Giuseppe and De Socio, Antonio and Guazzarotti, Giovanni and Mallucci, Enrico, The Impact of the Financial Crisis on Inter-Bank Funding: Evidence from Italian Balance Sheet Data (July 14, 2011). Bank of Italy Occasional Paper No. 95, Available at SSRN: https://ssrn.com/abstract=1968913 or http://dx.doi.org/10.2139/ssrn.1968913

Giuseppe Cappelletti

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Antonio De Socio

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Giovanni Guazzarotti (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Enrico Mallucci

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

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