Banks' Riskiness Over the Business Cycle: A Panel Analysis on Italian Intermediaries

51 Pages Posted: 6 Oct 2006

Date Written: September 2006

Abstract

Supervisors and policy makers pay increasing attention to the possible procyclical nature of banks' behaviour. Indeed, to guarantee macro and financial stability, it is important to understand whether, and to what extent, banks are affected by the macroeconomy and second round effects occur. This paper provides a comprehensive investigation of these issues using a large dataset of Italian intermediaries over the period 1985-2002. In particular, estimating both static and dynamic models, it investigates whether loan loss provisions and non-performing loans show a cyclical pattern. The estimated relations may be employed to carry out stress tests to assess the effects of macroeconomic shocks on banks' balance sheets.

Keywords: procyclicality, banks, loan loss provisions, non-performing loans, business cycle

JEL Classification: E30, E32, E44, G28

Suggested Citation

Quagliariello, Mario, Banks' Riskiness Over the Business Cycle: A Panel Analysis on Italian Intermediaries (September 2006). Bank of Italy Economic Research Paper No. 599, Available at SSRN: https://ssrn.com/abstract=935021 or http://dx.doi.org/10.2139/ssrn.935021

Mario Quagliariello (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
599
Abstract Views
2,509
Rank
86,665
PlumX Metrics