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Archive » June 2013 » The effect of macroeconomic shocks on Italian banks

The effect of macroeconomic shocks on Italian banks

Vincenzo D'Apice, Pierluigi Morelli
June 2013 - n°6
Jel codes: G21, E32

The relationship between economic activity and the banking sector has always been one of the central themes in both the academic and practitioners debates. In this work we present a methodological tool of macro stress tests, focused on Italy. We estimate an autoregressive model (Var) to assess two effects: the effect of macroeconomic shocks on the banking sector (cyclical effect); the potential feedback effect from the banking sector to the real economy (pro-cyclical effect). We find evidence only for the first one

 

 

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