http://www.bis.org/cbhub/list/country/country_italy/index.rss Latest research hub papers from Italy en http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td861_12/en_td861/en_tema_861.pdf Bank of Italy Working Papers by Riccardo Bonci Monetary policy and the flow of funds in the euro area 2012-04-23T17:36:00Z This paper provides new evidence on the transmission of monetary policy in the euro area, assessing the impact of an unexpected increase of the short-term interest rates on the lending and borrowing activity in different economic sectors. We exploit the information content of the flow-of-funds statistics, providing the best framework to analyse the flow of funds from lenders to borrowers. After estimating a small VAR for the euro area, we extend the benchmark model with the flow-of-funds series, analysing the response of these variables to a contractionary monetary policy shock. We find that the policy tightening is followed by a worsening of the budget deficit, firms cut down on their demand for bank loans, partially replacing them with inter-company loans, and draw on their liquidity to try to offset the fall in revenue associated with the slowdown in economic activity, while households increase precautionary saving in the short run. Consistent with the bank lending channel of monetary policy, the interest rate hike is followed by a short-run deceleration in credit growth, mainly driven by the response of banks. Monetary policy and the flow of funds in the euro area 2012-04-23T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td861_12/en_td861 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td861_12/en_td861/en_tema_861.pdf Riccardo Bonci Riccardo Bonci 2012-04 Bank of Italy Working Papers E32 E4 E52 G11 http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td859_12/en_td859/en_tema_859.pdf Bank of Italy Working Papers by Francesco Caprioli, Pietro Rizza and Pietro Tommasino Optimal fiscal policy when agents fear government default 2012-04-23T17:36:00Z We derive the optimal fiscal policy for a government that is committed to honoring its debt but faces investors which fear a sovereign default. We assume that investors are able to learn from new evidence, as in Marcet and Sargent (1989), so that they can gradually correct their overly pessimistic view about the government's creditworthiness. We show that in an economy with these features, contrary to the prescriptions of standard models, a frontloaded fiscal consolidation after an adverse fiscal shock is optimal. Optimal fiscal policy when agents fear government default 2012-04-23T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td859_12/en_td859 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td859_12/en_td859/en_tema_859.pdf Pietro Rizza Francesco Caprioli Pietro Tommasino Francesco Caprioli, Pietro Rizza and Pietro Tommasino 2012-04 Bank of Italy Working Papers D83 E62 http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td858_12/en_td858/en_tema_858.pdf Bank of Italy Working Papers by Luca Sessa Economic (in)stability under monetary targeting. 2012-04-23T17:36:00Z Monetary growth targeting is often seen as an effective way of supporting macroeconomic stability. We scrutinize this property by checking whether multiplicity of equilibria, in the form of local indeterminacy (LI), can be both a possible and a plausible outcome of a basic model with an exogenous money growth policy rule. We address the question in different versions of the Sidrauski-Brock-Calvo framework, which isolates the contribution of monetary non-neutralities and monetary targeting. In line with previous literature, real effects of money are found to be a necessary condition for LI: we identify a single pattern for their magnitude if they are to be sufficient too. While the most elementary setups are unable to plausibly generate large enough real effects, LI becomes significantly more likely as one realistically considers additional channels of transmission of monetary expansions onto the real economy: in particular, we show that models in which holding money is valuable to both households and firms may yield a LI outcome for empirically relevant parameterizations, therefore casting some doubt on the stabilizing properties of monetary monitoring. Economic (in)stability under monetary targeting. 2012-04-23T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td858_12/en_td858 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td858_12/en_td858/en_tema_858.pdf Luca Sessa Luca Sessa 2012-03 Bank of Italy Working Papers E41 E5 E52 E58 http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td860_12/en_td860/en_tema_860.pdf Bank of Italy Working Papers by Alfonso Rosolia and Paolo Sestito The effects of unemployment benefits in Italy: evidence from an institutional change 2012-04-23T17:36:00Z We document the effects of a change in the Italian Ordinary Unemployment Benefits Scheme on the job search process. As of January 2001, the replacement rate was raised from 30% to 40% and benefits' duration extended from 6 to 9 months for workers aged 50 or more. Our results show that (a) the average duration of benefits' collection increased by around one month for individuals entitled to 3 additional months, while it did not change significantly for those only exposed to higher replacement rates; (b) the pace of re-employment is never found to be statistically different across regimes, although point estimates for those exposed to a longer duration consistently indicate a 2 to 4 percentage points lower probability of re-employment at several horizons. Graphical evidence suggests that job-separation rates did not change with the new regime, while take-up apparently did, although the clear cyclical pattern could bias the picture. We conclude that, if any, the behavioural response induced by the change, must have been modest in economic terms. We discuss the reasons why the response may have been so subdued. The effects of unemployment benefits in Italy: evidence from an institutional change 2012-04-23T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td860_12/en_td860 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td860_12/en_td860/en_tema_860.pdf Paolo Sestito Alfonso Rosolia Alfonso Rosolia and Paolo Sestito 2012-04 Bank of Italy Working Papers J64 J65 http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_112/QEF_112.pdf Bank of Italy Occasional Papers by Giorgio Barba Navaretti, Matteo Bugamelli, Riccardo Cristadoro, Daniela Maggioni Are firms exporting to China and India different from other exporters? 2012-03-09T17:36:59Z This paper asks whether and why advanced countries differ in their ability to export to China and India. We exploit a newly collected, comparable cross-country survey of 15,000 European manufacturing firms (EFIGE). The dataset contains information on firms' international activities and characteristics such as size and productivity, governance and management structure, workforce, innovation and research activity. We identify the firm characteristics that are correlated with exporting activity in general as well as with exporting to China and India conditional on being an exporter. In line with existing literature, we prove that larger, more productive and innovative firms are more likely to become exporters and to export more. Are firms exporting to China and India different from other exporters? 2012-03-09T17:36:59Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_112 Full text http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_112/QEF_112.pdf Giorgio Barba Navaretti Daniela Maggioni Riccardo Cristadoro Matteo Bugamelli Giorgio Barba Navaretti, Matteo Bugamelli, Riccardo Cristadoro, Daniela Maggioni 2012-02 Bank of Italy Occasional Papers F10 L20 M20 http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td857_12/en_td857/en_tema_857.pdf Bank of Italy Working Papers by Christoffer Kok Sørensen, David Marqués Ibáñez and Carlotta Rossi Modelling loans to non-financial corporations in the euro area 2012-03-09T17:36:00Z We model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics of loan demand for the euro area are subsequently modelled using a Vector Error Correction Model (VECM). We perform a number of specification tests, which suggest that developments in loans to non-financial corporations in the euro area can be reasonably explained by the model. We then use the estimated model to analyse the impact of permanent and temporary shocks to the policy rate on bank lending to non-financial corporations. Modelling loans to non-financial corporations in the euro area 2012-03-09T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td857_12/en_td857 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td857_12/en_td857/en_tema_857.pdf Carlotta Rossi Christoffer Kok Sørensen David Marqués-Ibáñez Christoffer Kok Sørensen, David Marqués Ibáñez and Carlotta Rossi 2012-03 Bank of Italy Working Papers C32 C51 http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td853_12/en_td853/en_tema_853.pdf Bank of Italy Working Papers by Alessandro Borin, Riccardo Cristadoro, Roberto Golinelli and Giuseppe Parigi Forecasting world output: the rising importance of emerging economies 2012-03-09T17:36:00Z Assessing the global economic outlook is a fundamentally important task of international financial institutions, governments and central banks. In this paper we focus on the consequences of the rapid growth of emerging markets for monitoring and forecasting the global outlook. Our main results are that (i) the rise of the emerging countries has sharply altered the correlation of growth rates among the main economic areas; (ii) this is clearly detectable in forecasting equations as a structural break occurring in the 1990s; (iii) hence, inferences on global developments based solely on the industrialized countries are highly unreliable; (iv) the otherwise cumbersome task of monitoring many - and less studied - countries can be tackled by resorting to very simple bridge models (BM); (v) BM performance is in line with that of the most widely quoted predictions (WEO, Consensus) both before and during the recent crisis; (vi) for some emerging economies, BMs would have provided even better forecasts during the recent crisis. Forecasting world output: the rising importance of emerging economies 2012-03-09T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td853_12/en_td853 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td853_12/en_td853/en_tema_853.pdf Riccardo Cristadoro Giuseppe Parigi Alessandro Borin Roberto Golinelli Alessandro Borin, Riccardo Cristadoro, Roberto Golinelli and Giuseppe Parigi 2012-03 Bank of Italy Working Papers C22 C53 E37 F47 http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td855_12/en_td855/en_tema_855.pdf Bank of Italy Working Papers by Paolo Guerrieri and Filippo Vergara Caffarelli Trade openness and international fragmentation of production in the European Union: the new divide? 2012-03-09T17:36:00Z This paper analyses the relationship between international fragmentation of production, trade openness and global export performance in the European Union from 2000 to 2009. As most trade models featuring international production sharing show, the higher the level of fragmentation and related international openness the better the export performance of a country. Our econometric analysis confirms this hypothesis. We estimate an error correction model based on panel data on the EU Member States and find that inter-European fragmentation and openness significantly improve their long-run export performance. Policy implications could be that restrictive policies preventing firms from internationalizing production would weaken a country's position in global production networks, with long-term negative effects on domestic jobs and growth. Trade openness and international fragmentation of production in the European Union: the new divide? 2012-03-09T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td855_12/en_td855 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td855_12/en_td855/en_tema_855.pdf Filippo Vergara Caffarelli Paolo Guerrieri Paolo Guerrieri and Filippo Vergara Caffarelli 2012-03 Bank of Italy Working Papers F14 L23 http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td856_12/en_td856/en_tema_856.pdf Bank of Italy Working Papers by Marcello Miccoli Optimal dynamic public communication 2012-03-09T17:36:00Z This paper builds a dynamic model of the information flow between partially informed financial institutions and a public agency. The financial institutions decide how to allocate their portfolio between a risk-free technology with a known payoff and a risky technology whose payoff is unknown. The public agency learns about the value of the unknown payoff by observing with measurement error the actions of the financial institutions and decides whether to communicate the information at the agency's disposal. The paper characterizes the optimal public communication plan and shows that full transparency (taken as the release of information whenever it is collected) is not always optimal. Instead, optimal plans involve delayed communication, the amount of delay depending on the precision of private information and the size of the agency's measurement error. The explanation of the result lies in the collection process of public information: while releasing information improves the welfare of the agents, it also decreases the informational content of their actions, hampering the agency's learning and reducing the benefits of future public communication. Optimal dynamic public communication 2012-03-09T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td856_12/en_td856 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td856_12/en_td856/en_tema_856.pdf Marcello Miccoli Marcello Miccoli 2012-03 Bank of Italy Working Papers D80 D83 E58 E61 http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td854_12/en_td854/en_tema_854.pdf Bank of Italy Working Papers by Alberto Felettigh Entry dynamics as a solution to the puzzling behaviour of real marginal costs in the Ghironi-Melitz model 2012-03-09T17:36:00Z The work of Ghironi and Melitz (2005) is at the frontier of international real business cycle (IRBC) models with heterogeneous firms. In their model, the dynamic behaviour of real marginal costs is puzzling: a positive technology shock hitting the home country makes it permanently less cost-effective than the foreign economy. Wages grow more than profits during booms and the labour share in GDP is counterfactually procyclical. Entry by new firms is crucial in delivering this result. It is sufficient to posit that technology improvements are more efficacious in manufacturing than in the "production of new firms" for the labour share and real marginal costs to become countercyclical, consistently with empirical evidence. Once I introduce tradable capital goods and endogenous labour supply, the two models are on average equally good in replicating the empirical moments typically considered in the IRBC literature. Entry dynamics as a solution to the puzzling behaviour of real marginal costs in the Ghironi-Melitz model 2012-03-09T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td854_12/en_td854 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td854_12/en_td854/en_tema_854.pdf Alberto Felettigh Alberto Felettigh 2012-03 Bank of Italy Working Papers F12 F41 http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_111/QEF_111.pdf Bank of Italy Occasional Papers by Laura Bartiloro, Luisa Carpinelli, Paolo Finaldi Russo, Sabrina Pastorelli Access to credit in times of crisis: measures to support firms and households 2012-02-03T17:36:59Z The financial crisis that started in August 2007 has led to a worsening in the conditions of credit supply to customers. Since the second half of 2008, several measures have been adopted in order to sustain access to credit for both firms and households, such as debt moratoria, provisions of guarantees on specific types of loans, and various forms of incentives to increase the supply of lending.The initiatives aimed at firms have been sizeable, involving financial resources up to as much as 5 per cent of total bank loans granted between the beginning of 2009 and September 2011.The corresponding value for households has been more modest, slightly above 1 per cent; this is mainly because of the strict qualification requirements applied to some of the initiatives and to their limited financial endowment. Access to credit in times of crisis: measures to support firms and households 2012-02-03T17:36:59Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_111 Full text http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_111/QEF_111.pdf Luisa Carpinelli Laura Bartiloro Paolo Finaldi Russo Sabrina Pastorelli Laura Bartiloro, Luisa Carpinelli, Paolo Finaldi Russo, Sabrina Pastorelli 2012-01 Bank of Italy Occasional Papers http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td841_12/en_td841/en_tema_841.pdf Bank of Italy Working Papers by Marcello Pericoli Real term structure and inflation compensation in the euro area 2012-02-03T17:36:00Z Estimates of the real term structure for the euro area implied by French index-linked bonds are obtained by means of a smoothing spline methodology. The real term structure allows computation of the constant-maturity inflation compensation, which is compared with the surveyed inflation expectations in order to obtain a rough measure of the inflation risk premium. The comparison between the inflation compensation and the inflation swap shows that the two variables are closely interlinked but differently affected by illiquidity during periods of stress. The methodology used in this paper is quite effective at capturing the general shape of the real term structure while smoothing through idiosyncratic variations in the yields of index-linked bonds. Real interest rates tend to be quite stable at longer horizons and the average 10-year real rate from 2002 to 2009 is close to 2 per cent. Furthermore, evidence is found that inflation compensation was held down in the period 2008-09 by an increase in the liquidity premium of index-linked bonds. Real term structure and inflation compensation in the euro area 2012-02-03T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td841_12/en_td841 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td841_12/en_td841/en_tema_841.pdf Marcello Pericoli Marcello Pericoli 2012-02 Bank of Italy Working Papers http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td842_12/en_td842/en_tema_842.pdf Bank of Italy Working Papers by Marcello Pericoli Expected inflation and inflation risk premium in the euro area and in the United States 2012-02-03T17:36:00Z This paper uses the celebrated no-arbitrage affine Gaussian term structure model applied to index-linked and standard government bonds to derive expected inflation rates and inflation risk premia, in the euro area and in the US. Maximum likelihood estimates show that the model describes the evolution of the nominal and real term structures by using three latent factors which can be interpreted as two real factors and one inflation factor. These provide important information on expected inflation and inflation risk premia. The results highlight some striking differences between the euro area and the US. In the US, forward inflation risk premia become sizable around the start of the late-2000s financial crisis and considerably increase just before the adoption of the first unconventional monetary policy measures in March 2009. By contrast, in the euro area forward inflation risk premia remain unchanged even after the adoption of the unconventional monetary policy measures following the most acute phases of the financial crisis, in October 2008 and in May 2010. However, long-term inflation expectations have been well anchored over the past years. Expected inflation and inflation risk premium in the euro area and in the United States 2012-02-03T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td842_12/en_td842 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td842_12/en_td842/en_tema_842.pdf Marcello Pericoli Marcello Pericoli 2012-02 Bank of Italy Working Papers http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td843_12/en_td843/en_tema_843.pdf Bank of Italy Working Papers by Alessio Ciarlone Wealth effects in emerging economies 2012-02-03T17:36:00Z In this paper I estimate the impact of changes in real and financial wealth - proxied by house and stock market prices - on private consumption for a panel of sixteen emerging economies in Asia and Central and Eastern Europe. Using recent econometric techniques for heterogeneous panels, i.e. the pooled mean group estimator, inference is drawn about the long- and short-run relationship between the variables of interest. Both real and financial wealth are found to affect household consumption positively in the long-run, with the elasticity of housing wealth being greater than that of stock market wealth. When the model is run separately for the two groups of countries, the long-run impact of an increase (decrease) in house prices is generally greater in Central and Eastern European economies than in Asian ones, which make the former more vulnerable to further adverse developments in the housing market. Wealth effects in emerging economies 2012-02-03T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td843_12/en_td843 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td843_12/en_td843/en_tema_843.pdf Alessio Ciarlone Alessio Ciarlone 2012-02 Bank of Italy Working Papers http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td845_12/en_td845/en_tema_845.pdf Bank of Italy Working Papers by Giuseppe Cappelletti Do wealth fluctuations generate time-varying risk aversion? Italian micro-evidence on household asset allocation 2012-02-03T17:36:00Z Data from the Italian Survey of Households Income and Wealth (SHIW) are used to study portfolio allocations change in response to fluctuations in wealth. In particular I test for the prediction of models with habit formation that changes in liquid wealth will affect households' risk aversion and risky asset investment. After controlling for the decision to enter and leave the risky asset market, I find, in contrast with other studies (Brunnermeier and Nagel, 2008 and Chiappori and Paiella, 2008), that changes in wealth do help to explain changes in asset allocation. Do wealth fluctuations generate time-varying risk aversion? Italian micro-evidence on household asset allocation 2012-02-03T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td845_12/en_td845 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td845_12/en_td845/en_tema_845.pdf Giuseppe Cappelletti Giuseppe Cappelletti 2012-02 Bank of Italy Working Papers http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td848_12/en_td848/en_tema_848.pdf Bank of Italy Working Papers by Emilia Bonaccorsi di Patti and Enrico Sette Bank balance sheets and the transmission of financial shocks to borrowers: evidence from the 2007-2008 crisis 2012-02-03T17:36:00Z 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 existence of risk-shifting behaviour by reserve managers related to their year-to-date ranking: interim losers increase relative risk in the second half of the year, in the same way as mutual fund managers. In the dollar case the adjustment to ranking is reduced or offset if reserve managers have achieved a positive interim performance against the benchmark. Yen reserve managers that rank low show a tendency to increase effort, as proxied by portfolio turnover. Those who ranked low in the previous year tend to reduce risk significantly. Since reserve managers should have a comparative advantage over the benchmark within a monthly horizon, possible enhancements to the design of the tournament might involve an increased reward for effort and performance by means of a convex scoring system linked to monthly, rather than annual, performance. Bank balance sheets and the transmission of financial shocks to borrowers: evidence from the 2007-2008 crisis 2012-02-03T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td848_12/en_td848 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td848_12/en_td848/en_tema_848.pdf Enrico Sette Emilia Bonaccorsi di Patti Emilia Bonaccorsi di Patti and Enrico Sette 2012-02 Bank of Italy Working Papers http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td850_12/en_td850/en_tema_850.pdf Bank of Italy Working Papers by Valter Di Giacinto, Matteo Gomellini, Giacinto Micucci and Marcello Pagnini Mapping local productivity advantages in Italy: industrial districts, cities or both? 2012-02-03T17:36:00Z We compare the magnitude of local productivity advantages associated with two different spatial concentration patterns in Italy - urban areas and industrial districts. The former have high population density and host a wide range of economic activities, while the latter are marked by a high concentration of small firms producing relatively homogenous goods. Using data from a large sample of Italian manufacturing firms observed over the 1995-2006 period, we detect local productivity advantages for both urban areas and industrial districts. However, firms located in urban areas reap a larger productivity premium than those operating within districts. The advantages of industrial districts have declined over time; those of urban areas have remained stable. Differences in the composition of firm employees between white- and blue-collars explain a small fraction of the urban productivity premium. The quantile regressions show how more productive firms gain larger benefits by locating in urban areas. Our analysis raises the question of whether Italian industrial districts are less fit than urban areas to prosper in a world characterized by advancing globalization and the growing use of ICT. Mapping local productivity advantages in Italy: industrial districts, cities or both? 2012-02-03T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td850_12/en_td850 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td850_12/en_td850/en_tema_850.pdf Giacinto Micucci Valter Di Giacinto Matteo Gomellini Marcello Pagnini Valter Di Giacinto, Matteo Gomellini, Giacinto Micucci and Marcello Pagnini 2012-02 Bank of Italy Working Papers http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td849_12/en_td849/en_tema_849.pdf Bank of Italy Working Papers by Alessandro Borin and Virginia Di Nino The role of financial investments in agricultural commodity derivatives markets 2012-02-03T17:36:00Z This paper investigates the relationship between futures prices and financial investments in derivatives of the main agricultural commodities. We first provide a broad picture of how these markets function and how they have evolved, showing that traders who deal mostly in commodity index investments (swap dealers) have gained importance since the mid-2000s. However, traditional financial market participants (money managers) still show the stronger (simultaneous) correlation with price movements. Our main empirical analysis aims to gauge the influence of financial investors' positions on both the level and the volatility of futures prices. The Granger-causality tests suggest that speculative investments usually follow - rather than precede - variations in futures returns. Employing a GARCH model, we find that the activity of money managers tends to be associated with lower volatility of futures returns, while that of swap dealers is sometimes followed by higher price variations. The role of financial investments in agricultural commodity derivatives markets 2012-02-03T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td849_12/en_td849 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td849_12/en_td849/en_tema_849.pdf Virginia Di Nino Alessandro Borin Alessandro Borin and Virginia Di Nino 2012-02 Bank of Italy Working Papers http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td847_12/en_td847/en_tema_847.pdf Bank of Italy Working Papers by Guido Bulligan, Massimiliano Marcellino and Fabrizio Venditti Forecasting economic activity with higher frequency targeted predictors 2012-02-03T17:36:00Z In this paper we explore the performance of bridge and factor models in forecasting quarterly aggregates in the very short-term subject to a pre-selection of monthly indicators. Starting from a large information set, we select a subset of targeted predictors using data reduction techniques as in Bai and Ng [5]. We then compare a Diffusion Index forecasting model as in Stock and Watson [20], with a Bridge model specified with an automated General-To-Specific routine. We apply these techniques to forecasting Italian GDP growth and its main components from the demand side and find that Bridge models outperform naive forecasts and compare favorably against factor models. Results for France, Germany, Spain and the euro area confirm these findings. Forecasting economic activity with higher frequency targeted predictors 2012-02-03T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td847_12/en_td847 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td847_12/en_td847/en_tema_847.pdf Guido Bulligan Massimiliano Marcellino Fabrizio Venditti Guido Bulligan, Massimiliano Marcellino and Fabrizio Venditti 2012-02 Bank of Italy Working Papers http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td846_12/en_td846/en_tema_846.pdf Bank of Italy Working Papers by Antonio Accetturo, Matteo Bugamelli and Andrea Lamorgese Welcome to the machine: firms' reaction to low-skilled immigration 2012-02-03T17:36:00Z We assess the impact of low-skilled immigration on capital intensity. We first present a model characterized by frictions in the labor market and firms' asymmetric information on workers' skills and show that firms can react to the immigration-induced reduction of their workforce's skill level by increasing the capital-labor ratio. We test the predictions of the model on a sample of Italian manufacturing firms over the period 1996-2007, finding that increased immigration of low-skilled workers from developing countries, measured at the provincial level and instrumented with pre-existing enclaves of immigrants and network effects, raises capital intensity. In line with the predictions of the theoretical model, the impact of immigration, which is quite robust across empirical specifications, is stronger for larger firms and in skill-intensive sectors. Welcome to the machine: firms' reaction to low-skilled immigration 2012-02-03T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td846_12/en_td846 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td846_12/en_td846/en_tema_846.pdf Andrea Lamorgese Antonio Accetturo Matteo Bugamelli Antonio Accetturo, Matteo Bugamelli and Andrea Lamorgese 2012-02 Bank of Italy Working Papers http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td844_12/en_td844/en_tema_844.pdf Bank of Italy Working Papers by Elena Gennari and Giovanna Messina How sticky are local expenditures in Italy? Assessing the relevance of the "flypaper effect" through municipal data 2012-02-03T17:36:00Z An extensive literature analyses the impact of upper-tier transfers on the spending behaviour of lower level governments. According to the median voter framework, a transfer from the centre should act as a lump sum grant to residents and thus be spent by jurisdictions in the same proportion as residents are willing to spend their own money on public goods and services. But the actual local expenditure response to central government transfers is stronger than predicted by the theory, giving rise to the "flypaper effect". Using the database on municipal accounts, and various other information sources, this work aims at assessing the size of the effect for Italian municipalities and the symmetry in the local expenditure response to central government transfers. Our dataset enables us also to investigate the role of some political factors. We find a sizeable effect and a remarkable asymmetric response of municipal expenditures to central government transfers as well as a significant role for political variables. How sticky are local expenditures in Italy? Assessing the relevance of the "flypaper effect" through municipal data 2012-02-03T17:36:00Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td844_12/en_td844 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td844_12/en_td844/en_tema_844.pdf Giovanna Messina Elena Gennari Elena Gennari and Giovanna Messina 2012-02 Bank of Italy Working Papers http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_109/QEF_109.pdf Bank of Italy Occasional Papers by Daniele Sabbatini The protection of industrial inventions: analysis of the regulation and evaluation of policies 2011-12-16T12:41:59Z The Italian and European regulatory framework for patents would benefit from further improvements in order to foster dynamic competition between Italian firms. At the national level the exclusive allocation of the right to patent inventions to universities, rather than to researchers, would promote better commercial exploitation. The protection of industrial inventions: analysis of the regulation and evaluation of policies 2011-12-16T12:41:59Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_109 Full text http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_109/QEF_109.pdf Daniele Sabbatini Daniele Sabbatini 2011-11 Bank of Italy Occasional Papers http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_106/QEF_106.pdf Bank of Italy Occasional Papers by Fabrizio Borselli Organised vat fraud: features, magnitude, policy perspectives 2011-12-16T12:41:59Z The European Union's VAT system has become vulnerable to organised fraud schemes. In recent years, these schemes, undergoing a change in structure, have affected services and imports of goods from third countries and may also have shifted trade in goods among EU countries. Organised vat fraud: features, magnitude, policy perspectives 2011-12-16T12:41:59Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_106 Full text http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_106/QEF_106.pdf Fabrizio Borselli Fabrizio Borselli 2011-10 Bank of Italy Occasional Papers http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_105/QEF_105.pdf Bank of Italy Occasional Papers by P.E. Mistrulli, V. Vacca (coordinators), G. Corbisiero, S. Del Prete, L. Esposito, M. Gallo, M. Graziano, M. Lozzi, V. Maffione, D. Marangoni, A. Migliardi, A. Tosoni Mutual guarantee institutions and small business credit during the crisis 2011-12-16T12:41:59Z The recent economic and financial crisis has drawn attention to how mutual guarantee institutions (MGIs) facilitate small and medium enterprises in accessing bank financing. The aim of this paper is twofold. First, we describe the structural features of the Italian market for mutual guarantees and its significance for small business credit. To this end, we use extensive databases (the Central Credit Register and the Central Balance Sheet Register) as well as specific surveys, which allow us to fill information gaps about this industry and to quantify regional diversity. Second, we investigate whether MGIs' support to small firms continued to be effective in 2008-09, when credit constraints to Italian firms peaked. We find that MGIs played a role in avoiding a break-up in credit flows to affiliated firms, which also benefited from a lower cost of credit. However, this came at the cost of a deterioration in credit quality, which was more intense for customers with guarantees from MGIs. Mutual guarantee institutions and small business credit during the crisis 2011-12-16T12:41:59Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_105 Full text http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_105/QEF_105.pdf A. Migliardi A. Tosoni V. Maffione D. Marangoni M. Graziano M. Lozzi L. Esposito M. Gallo G. Corbisiero S. Del Prete P.E. Mistrulli V. Vacca P.E. Mistrulli, V. Vacca (coordinators), G. Corbisiero, S. Del Prete, L. Esposito, M. Gallo, M. Graziano, M. Lozzi, V. Maffione, D. Marangoni, A. Migliardi, A. Tosoni 2011-10 Bank of Italy Occasional Papers http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_104/QEF_104.pdf Bank of Italy Occasional Papers by Laura Bartiloro Is your money safe? What Italians know about deposit insurance 2011-12-16T12:41:59Z The recent financial crisis has revived the debate on deposit insurance. Public awareness of its existence is essential in order to prevent a bank run. Analysing the results of three questions on this topic introduced in the last Survey on Household Income and Wealth, this paper investigates knowledge of the existence of the Italian deposit insurance scheme and its main characteristics among a sample of households. Evidence shows that knowledge of deposit insurance is poor: 70 per cent of the households in the sample are completely unaware of its existence, 23 per cent possess only basic knowledge, and just 7 per cent have detailed information. The available data allow us to outline possible determinants of deposit insurance awareness: the results highlight the importance of the Internet and of income and education, as expected; in addition, men seem to be better informed than women. Is your money safe? What Italians know about deposit insurance 2011-12-16T12:41:59Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_104 Full text http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_104/QEF_104.pdf Laura Bartiloro Laura Bartiloro 2011-10 Bank of Italy Occasional Papers