The DOI matches its Crossref record; 65 of the 65 references it cites were found in a registry or an index.
Banks’ riskiness over the business cycle: a panel analysis on Italian intermediaries
Open accessAbstract
A comprehensive investigation is provided on the issue of the possible cyclical nature of banks’ behaviour using a large panel of Italian intermediaries over the period 1985 to 2002. Estimating both static and dynamic models, the article investigates whether loan loss provisions and non-performing loans show a cyclical pattern. The econometric results confirm that business cycle affects banks’ loan loss provisions and new bad debts. The impact of recessionary conditions is significant and long-lasting. Moreover, the empirical evidence provides some support for the income-smoothing hypothesis. The estimated relations may be employed to carry out stress tests to assess the effects of macroeconomic shocks on banks' balance sheets.
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Cites
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Estimation of Dynamic Models with Error Components
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Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks
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Louzis, D. P., Vouldis, A. T., & Metaxas, V. L. (2012) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2011.10.012 · Cited by 1,289
Bank profitability and the business cycle
Albertazzi, U., & Gambacorta, L. (2009) · Journal of Financial Stability · doi:10.1016/j.jfs.2008.10.002 · Cited by 802
Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI
Castro, V. (2013) · Economic Modelling · doi:10.1016/j.econmod.2013.01.027 · Cited by 377
Key Determinants of Non-performing Loans: New Evidence from a Global Sample
Beck, R., Jakubik, P., & Piloiu, A. (2015) · Open Economies Review · doi:10.1007/s11079-015-9358-8 · Cited by 317
Metadata
- Authors
- Quagliariello, M.
- Venue
- Applied Financial Economics
- Publisher
- Informa UK Limited
- Published
- 2006-12-11
- Volume
- 17
- Issue
- 2
- Pages
- 119-138
- ISSN
- 0960-3107 (ISSN-L)
- 1466-4305
- OpenAlex
- W3124356832
- Cited by
- 285
- References
- 65
- FWCI
- 18.73
- Type
- journal article
- Language
- en
- Open access
- green
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