Banks� Riskiness Over the Business Cicle: a Panel Analysis on Italian Intermediaries

Mario Quagliariello

No 599, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

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 (search for similar items in EconPapers)
JEL-codes: E30 E32 E44 G28 (search for similar items in EconPapers)
Date: 2006-09
New Economics Papers: this item is included in nep-acc, nep-ban, nep-fin, nep-fmk and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_599_06

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