The effect of macroeconomic shocks on Italian banks

Vincenzo D'Apice and Pierluigi Morelli
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Vincenzo D'Apice: ABI
Pierluigi Morelli: ABI

BANCARIA, 2013, vol. 06, 42-46

Abstract: The relationship between economic activity and the banking sector has always been one of the central themes in both the academic and practitioners debates. In this work we present a methodological tool of macro stress tests, focused on Italy. We estimate an autoregressive model (Var) to assess two effects: the effect of macroeconomic shocks on the banking sector (cyclical effect); the potential feedback effect from the banking sector to the real economy (pro-cyclical effect). We find evidence only for the first one

JEL-codes: E32 G21 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:ban:bancar:v:6:y:2013:m:june:p:42-46

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