Showing 1 - 10 of 48
The paper provides an empirical assessment of the market risk exposure of several portfolios representative of real life investment positions. We employ the notion of value at risk made popular by the recent debate on capital budgeting policies of financial intermediaries and by the new capital...
Persistent link: https://www.econbiz.de/10005640899
The investment of the ECB reserves in US dollars and yen involves an annual performance assessment of portfolio managers, located in the Eurosystem�s national central banks. Employing new data on individual portfolios during 2002-2009, we study this peculiar tournament and show the...
Persistent link: https://www.econbiz.de/10009645793
A striking feature of financial market behaviour in recent years has been the low level of price volatility over a wide range of financial assets and markets. The issue has attracted the attention of central bankers and financial regulators due to the potential implications for financial...
Persistent link: https://www.econbiz.de/10005770790
The paper presents a simple theory of intraday behavior in the interbank market.
Persistent link: https://www.econbiz.de/10005780675
In this paper we examine the main aspects of Italian factoring market and its evolution during last two decades. Moreover, we analyze the characteristics of firms accessing this kind of financing. In Italy factoring market size is the third in the world in absolute terms (amount of turnover),...
Persistent link: https://www.econbiz.de/10005111554
Financial exclusion concerns 2.5 billion individuals and more than 450 million enterprises. The G20 countries are committed to the reduction of this phenomenon. The Bank of Italy has a fundamental role in the field of financial inclusion, both on a national and an international scale through...
Persistent link: https://www.econbiz.de/10009193018
This paper analyzes whether from the end of 2005 to the first half of 2012 bank localism influenced the dynamics and the quality of loans to Italian firms. To this aim, this paper proposes a new definition for local banks that, respect to the traditional classifications employed in literature,...
Persistent link: https://www.econbiz.de/10011207924
The role of movements in real rates in explaining the relationship between long and short-term interest rates is explored using a model of optimal government debt management.
Persistent link: https://www.econbiz.de/10005780674
The act of choosing can influence maximizing behaviour for at least two distinct reasons: 1) process significance and 2) decisional inescapability. The constructive programme of the paper is combined with critical appraisal of the implications of these concerns for rational decisions about...
Persistent link: https://www.econbiz.de/10005780681
We develop a model which accounts for the observed equity premium and average risk free rate, without implying counterfactually high risk aversion. The model also does well in accounting for business cycle phenomena.
Persistent link: https://www.econbiz.de/10005640901