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Author: Ms.Edda Zoli
Publisher: International Monetary Fund
ISBN: 1484351169
Category : Business & Economics
Languages : en
Pages : 26
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Book Description
Volatility in Italian sovereign spreads has increased since mid-2011. This paper finds that news on the euro area debt crisis and country specific events were important drivers of sovereign spreads. Movements in sovereign spreads affect CDS spreads and bond yields of Italian banks, and are transmitted rapidly to firm lending rates. Banks with lower capital ratios and higher nonperforming loans were found to be more sensitive to swings in sovereign spreads. Credit supply constraints due to bank funding shortages from the sovereign debt crisis were a major factor behind the lending slowdown in late 2011, while in 2012 weak demand appears to have been driving changes in credit more than supply.
Author: Ms.Edda Zoli
Publisher: International Monetary Fund
ISBN: 1484351169
Category : Business & Economics
Languages : en
Pages : 26
Get Book Here
Book Description
Volatility in Italian sovereign spreads has increased since mid-2011. This paper finds that news on the euro area debt crisis and country specific events were important drivers of sovereign spreads. Movements in sovereign spreads affect CDS spreads and bond yields of Italian banks, and are transmitted rapidly to firm lending rates. Banks with lower capital ratios and higher nonperforming loans were found to be more sensitive to swings in sovereign spreads. Credit supply constraints due to bank funding shortages from the sovereign debt crisis were a major factor behind the lending slowdown in late 2011, while in 2012 weak demand appears to have been driving changes in credit more than supply.
Author: Ms.Edda Zoli
Publisher: International Monetary Fund
ISBN: 1484357701
Category : Business & Economics
Languages : en
Pages : 26
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Book Description
Volatility in Italian sovereign spreads has increased since mid-2011. This paper finds that news on the euro area debt crisis and country specific events were important drivers of sovereign spreads. Movements in sovereign spreads affect CDS spreads and bond yields of Italian banks, and are transmitted rapidly to firm lending rates. Banks with lower capital ratios and higher nonperforming loans were found to be more sensitive to swings in sovereign spreads. Credit supply constraints due to bank funding shortages from the sovereign debt crisis were a major factor behind the lending slowdown in late 2011, while in 2012 weak demand appears to have been driving changes in credit more than supply.
Author: Donato Ceci
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author:
Publisher:
ISBN: 9789289915953
Category :
Languages : en
Pages : 30
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Book Description
This paper attempts to evaluate the impact of fiscal policy announcements by the Italian government on the long-term sovereign bond spread of Italy relative to Germany. After collecting data on relevant fiscal policy announcements, we perform an econometric comparative analysis between the three administrations that followed one another during the period 2009-2013. The results indicate that only fiscal policy announcements made by members of Monti's cabinet had a significant impact on the Italian spread. We argue that these findings may be partly explained by a credibility gap between Monti's technocratic administration and Berlusconi's and Letta's governments.
Author: Matteo Falagiarda
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
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Book Description
This paper attempts to evaluate the effects of fiscal policy announcements by the Italian government on the long-term sovereign bond spread of Italy relative to Germany. After collecting data on relevant fiscal policy announcements, we perform an econometric comparative analysis between the three cabinets that followed one another during the period 2009-2013. The results suggest that only fiscal policy announcements made by members of Monti's cabinet have been effective in influencing the Italian spread, revealing a remarkable credibility gap between Monti's technocratic administration and Berlusconi's and Letta's governments.
Author: Eric Helleiner
Publisher: Cornell University Press
ISBN: 1501720724
Category : Political Science
Languages : en
Pages : 290
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Book Description
Why should each country have its own exclusive currency? Eric Helleiner offers a fascinating and unique perspective on this question in his accessible history of the origins of national money. Our contemporary understandings of national currency are, Helleiner shows, surprisingly recent. Based on standardized technologies of production and extraction, territorially exclusive national currencies emerged for the first time only during the nineteenth century. This major change involved a narrow definition of legal tender and the exclusion of tokens of value issued outside the national territory. "Territorial currencies" rapidly became bound up with the rise of national markets, and money reflected basic questions of national identity and self-presentation: In what way should money be managed to serve national goals? Whose pictures should go on the banknotes? Helleiner draws out the potent implications of this largely unknown history for today's context. Territorial currencies face challenges from many monetary innovations—the creation of the euro, dollarization, the spread of local currencies, and the prospect of privately issued electronic currencies. While these challenges are dramatic, the author argues that their significance should not be overstated. Even in their short historical life, territorial currencies have never been as dominant as conventional wisdom suggests. The future of this kind of currency, Helleiner contends, depends on political struggles across the globe, struggles that echo those at the birth of national money.
Author: Mr.Giovanni Dell'Ariccia
Publisher: International Monetary Fund
ISBN: 1484359623
Category : Business & Economics
Languages : en
Pages : 54
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Book Description
This paper reviews empirical and theoretical work on the links between banks and their governments (the bank-sovereign nexus). How significant is this nexus? What do we know about it? To what extent is it a source of concern? What is the role of policy intervention? The paper concludes with a review of recent policy proposals.
Author: Giancarlo Corsetti
Publisher: International Monetary Fund
ISBN: 1475516800
Category : Business & Economics
Languages : en
Pages : 49
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Book Description
Sovereign risk premia in several euro area countries have risen markedly since 2008, driving up credit spreads in the private sector as well. We propose a New Keynesian model of a two-region monetary union that accounts for this “sovereign risk channel.” The model is calibrated to the euro area as of mid-2012. We show that a combination of sovereign risk in one region and strongly procyclical fiscal policy at the aggregate level exacerbates the risk of belief-driven deflationary downturns. The model provides an argument in favor of coordinated, asymmetric fiscal stances as a way to prevent selffulfilling debt crises.
Author: International Monetary Fund. European Dept.
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 29
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Book Description
Italy: Selected Issues
Author: Klaus Duellmann
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
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Book Description
In this paper we analyze the credit spread between Italian and German Government bonds after the exchange-rate agreement in May 1998. We estimate the parameters of two mean-reverting affine models for the German term structure and the spread process - the Gaussian Vasicek and the square-root Cox-Ingersoll-Ross (CIR) model. Similar to Pearson and Sun [1994] we combinecross-sectional and time-series information of daily observations to estimate the process parameters employing a maximum likelihood method. Our empirical results show that the Vasicek and CIR model describe the German term structuredynamics equally well. Both models fail to account for all observed shapes of the credit spread structure whereas the spread residuals in the Vasicek case seem to be less volatile. Our results suggest application in the area of pricing credit-sensitive instruments such as credit derivatives or themanagement of credit risk, especially for European Government debt.
