We study the credit-risk-taking behaviour of Italian banks in response to changes in the term structure of interest rates using a confidential dataset on new loans to non-financial firms. We find that ex-ante risk-taking is negatively related to the short end of the yield curve but positively to...

We propose a new way to compute market-based risk-adjusted measures of inflation expectations. Borrowing from the finance literature, we study the ex-post excess return on inflation swap contracts – the difference between the swap rate at a given maturity and the realized inflation rate over...