The recent financial crisis in Europe has been followed by a significant decrease in credit flows... more The recent financial crisis in Europe has been followed by a significant decrease in credit flows to nonfinancial enterprises. This article investigates demand and supply of loans using data from surveys. Our econometric analysis suggests that recent European Central Bank (ECB) policy has favoured the credit market. Although bank credit standards are tighter than usual, the present low‐credit growth is
International journal of economics and finance, 2021
This paper investigates the main determinants of euro denominated corporate bond yields, then ana... more This paper investigates the main determinants of euro denominated corporate bond yields, then analyses the “country effect” by focusing on economic reasons for the strong link between country and corporate yields. It also examines the potential impact of monetary policy of the European Central Bank (ECB) on corporate bond yields on the days of Governing Council meetings. A sample of 1,762 corporate euro-country bonds is analyzed for the period May 2005 – January 2012 using OLS panel data. The economic reason for the strong link between countries and corporate yields is investigated up to 2017. We find that idiosyncratic liquidity and risk have a crucial impact on bond yields, but yields are also strongly influenced by the risk of the corresponding sovereign bonds. Finally, we show that unexpectedness component of ECB policy also exerts a strong short-term effect.
Institutional Variables, Capital Flows and GDP: A Causality Analysis (by Giuseppe Mastromatteo, G... more Institutional Variables, Capital Flows and GDP: A Causality Analysis (by Giuseppe Mastromatteo, Giovanni Verga) - ABSTRACT: uring the last years the effects of socio-institutional and political variables on economic conditions has gained importance in the literature. This paper investigates the links between socio-institutional variables and capital inflows and GDP relative to a sample of countries for the years 2003-2004. First
I In the empirical literature on the demand for money in Italy several important issues remain to... more I In the empirical literature on the demand for money in Italy several important issues remain to be settled; they concern stability, simultaneity, the nature of the adjustment process, the role of the domestic rate of inflation and that of foreign interest rates (Calliari, Spinelli and ...
It is commonly believed that the 1992 and 1993 Wage Agreements have been crucially important in t... more It is commonly believed that the 1992 and 1993 Wage Agreements have been crucially important in the disinflation enacted in Italy at the beginning of the 1990s. Perhaps because of this common belief, not much formalised analysis has been devoted to these agreements and to their effects (a notable exception is Fabiani et al., 1998; highly interesting descriptive accounts of the Agreements and of their workings are contained in ISTAT, 2002 and in Casadio, 2002). In the present study we take up this topic, which has considerable interest ...
This paper investigates the cyclical co-movements between US stocks and interest rates by testing... more This paper investigates the cyclical co-movements between US stocks and interest rates by testing a simple model where divergence between stock and bond price behavior is explained by “stock market strength,” where the latter depends on the market climate about future corporate profits—as captured by the corporate bond quality ratio—and an unexplained stock market sentiment. Using two different regression techniques to check for robustness, we find evidence of a statistically significant cyclical correlation between stocks and bonds. On the basis of this finding, we then present a methodology to “deflate” a stock price index such that we can compare stock market strength over time. This is obtained by removing the effect of a changing discount rate—as measured by our regressions—on stock prices. For example, viewed in this light, the past five years in the US stock market reveal a wider fluctuation in stock market strength than we can observe on the basis of stock price indices alone.
... In this section, we want to test the consistency between ECB words and its subsequent deeds. ... more ... In this section, we want to test the consistency between ECB words and its subsequent deeds. ... In other words, when the incongruence of preferences between the central bank and the private sector is not too large, there is no incentive for the central bank to misrepresent its ...
The recent financial crisis in Europe has been followed by a significant decrease in credit flows... more The recent financial crisis in Europe has been followed by a significant decrease in credit flows to nonfinancial enterprises. This article investigates demand and supply of loans using data from surveys. Our econometric analysis suggests that recent European Central Bank (ECB) policy has favoured the credit market. Although bank credit standards are tighter than usual, the present low‐credit growth is
International journal of economics and finance, 2021
This paper investigates the main determinants of euro denominated corporate bond yields, then ana... more This paper investigates the main determinants of euro denominated corporate bond yields, then analyses the “country effect” by focusing on economic reasons for the strong link between country and corporate yields. It also examines the potential impact of monetary policy of the European Central Bank (ECB) on corporate bond yields on the days of Governing Council meetings. A sample of 1,762 corporate euro-country bonds is analyzed for the period May 2005 – January 2012 using OLS panel data. The economic reason for the strong link between countries and corporate yields is investigated up to 2017. We find that idiosyncratic liquidity and risk have a crucial impact on bond yields, but yields are also strongly influenced by the risk of the corresponding sovereign bonds. Finally, we show that unexpectedness component of ECB policy also exerts a strong short-term effect.
Institutional Variables, Capital Flows and GDP: A Causality Analysis (by Giuseppe Mastromatteo, G... more Institutional Variables, Capital Flows and GDP: A Causality Analysis (by Giuseppe Mastromatteo, Giovanni Verga) - ABSTRACT: uring the last years the effects of socio-institutional and political variables on economic conditions has gained importance in the literature. This paper investigates the links between socio-institutional variables and capital inflows and GDP relative to a sample of countries for the years 2003-2004. First
I In the empirical literature on the demand for money in Italy several important issues remain to... more I In the empirical literature on the demand for money in Italy several important issues remain to be settled; they concern stability, simultaneity, the nature of the adjustment process, the role of the domestic rate of inflation and that of foreign interest rates (Calliari, Spinelli and ...
It is commonly believed that the 1992 and 1993 Wage Agreements have been crucially important in t... more It is commonly believed that the 1992 and 1993 Wage Agreements have been crucially important in the disinflation enacted in Italy at the beginning of the 1990s. Perhaps because of this common belief, not much formalised analysis has been devoted to these agreements and to their effects (a notable exception is Fabiani et al., 1998; highly interesting descriptive accounts of the Agreements and of their workings are contained in ISTAT, 2002 and in Casadio, 2002). In the present study we take up this topic, which has considerable interest ...
This paper investigates the cyclical co-movements between US stocks and interest rates by testing... more This paper investigates the cyclical co-movements between US stocks and interest rates by testing a simple model where divergence between stock and bond price behavior is explained by “stock market strength,” where the latter depends on the market climate about future corporate profits—as captured by the corporate bond quality ratio—and an unexplained stock market sentiment. Using two different regression techniques to check for robustness, we find evidence of a statistically significant cyclical correlation between stocks and bonds. On the basis of this finding, we then present a methodology to “deflate” a stock price index such that we can compare stock market strength over time. This is obtained by removing the effect of a changing discount rate—as measured by our regressions—on stock prices. For example, viewed in this light, the past five years in the US stock market reveal a wider fluctuation in stock market strength than we can observe on the basis of stock price indices alone.
... In this section, we want to test the consistency between ECB words and its subsequent deeds. ... more ... In this section, we want to test the consistency between ECB words and its subsequent deeds. ... In other words, when the incongruence of preferences between the central bank and the private sector is not too large, there is no incentive for the central bank to misrepresent its ...
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