The paper proposes a framework for assessing the impact of system-wide and bank-level capital buffers. The assessment rests on a factor-augmented vector autoregression (FAVAR) model that relates individual bank adjustments to macroeconomic dynamics. We estimate FAVAR models individually for...

El artículo propone un marco para evaluar el impacto de los colchones de capital a nivel de todo el sistema y a nivel bancario. La evaluación se basa en un modelo FAVAR (Factor-Augmented Vector Autoregression) que relaciona los ajustes bancarios individuales con la dinámica macroeconómica....

This paper tests the hypothesis of liquidity hoarding in the Italian banking system during the 2007-2011 global financial crisis. According to this hypothesis, in periods of crisis, interbank markets stop working and central banks’ interventions are ineffective because banks hoard the...

Linguistic and cultural differences, different legal and supervisory frameworks, relationship lending have been repeatedly mentioned as barriers to European retail banking integration. We investigate whether these barriers have affected integration within national boundaries, using an index of...

This paper investigates the ex-ante determinants of bank loan securitization by using different econometric methods on Italian individual bank data from 2000 to 2006. Our results show that bank loan securitization is a composite decision. Banks that are less capitalized, less profitable, less...

To measure integration, economic theory provides a clear background regarding price convergence: the law of one price. This paper is the first test of this law in euro-area retail banking. Since the law can be verified only on similar assets, we use recent harmonized data and a methodology that...

This paper analyses banking convergence, measured through the ratios of deposits and loans to GDP, across 65 countries, compares it with per capita income convergence, and tests its effect on real convergence. The focus of the paper is the group of countries that have adopted the euro as a...

The availability of new harmonized data on bank interest rates allows a rigorous assessment to be made of cross-country price homogeneity/heterogeneity in euro area retail credit markets. Econometric analysis shows that the banking market is still highly segmented and that the degree of...