A Likelihood-Based Analysis for Relaxing the Exclusion Restriction in Randomized Experiments with Imperfect Compliance

Mercatanti, Andrea

doi:10.2139/ssrn.1290514

Cited by 90 publications

(33 citation statements)

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“…Among these works, a group of papers tries to explain how the sovereign debt crisis lead to an increase in sovereign holdings in banks' balance sheets (Acharya and Steffen 2013;Battistini et al 2013;Angelini et al 2014), while a second strand investigates whether this behavior crowded out private debt and with what economic effects (Becker and Ivashina 2014;Ahtik and Albertazzi 2014). Other works, more similar to ours, investigate the economic costs of the sovereign debt crisis via its effect on credit supply (Popov and Van Horen (2013); Bofondi et al (2013); Correa et al (2014); De Marco (2014); Acharya et al (2014)). Popov and Van Horen (2013) show that in 2011 European banks resident in countries not exposed to the crisis but with a higher exposure to the debt of Greece, Ireland, Portugal, Spain and Italy, decreased the volume of syndicated loans at the country-borrower level more than less exposed banks.…”

Section: Introductionmentioning

confidence: 64%

“…Other works, more similar to ours, investigate the economic costs of the sovereign debt crisis via its effect on credit supply (Popov and Van Horen (2013); Bofondi et al (2013); Correa et al (2014); De Marco (2014); Acharya et al (2014)). Popov and Van Horen (2013) show that in 2011 European banks resident in countries not exposed to the crisis but with a higher exposure to the debt of Greece, Ireland, Portugal, Spain and Italy, decreased the volume of syndicated loans at the country-borrower level more than less exposed banks. Using Italian data, Albertazzi et al (2014) show that sovereign debt market tensions, proxied by the 10-year BTP-Bund spread, had a sizable effect on banks' funding costs, significantly affected the cost of credit for firms and households and exerted a negative effect on loan growth.…”

Section: Introductionmentioning

confidence: 64%

“…Using Italian data, Albertazzi et al (2014) show that sovereign debt market tensions, proxied by the 10-year BTP-Bund spread, had a sizable effect on banks' funding costs, significantly affected the cost of credit for firms and households and exerted a negative effect on loan growth. Bofondi et al (2013) exploit the presence of foreign banks in the Italian market to identify financial intermediaries which were "more" and "less" exposed to the sovereign crisis in 2011. In particular, in order to assess how the rise in sovereign spreads affected credit supply decisions, they use banks headquartered in countries where the sovereign risk increased significantly less -mainly German and French groups -as a control group for Italian banks.…”

Section: Introductionmentioning

confidence: 99%

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Sovereign Debt Exposure and the Bank Lending Channel: Impact on Credit Supply and the Real Economy

Bottero

Lenzu²,

Mezzanotti

2015

SSRN Journal

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We study the impact of sovereign market tensions on the real economy through the bank lending channel. Using a large matched bank-firm panel data set that tracks credit relations in Italy over the period 2009-2011, we show that the Greek bailout in the spring of 2010 had a negative impact on the riskiness of government securities held in the portfolio of financial intermediaries, which in turn led to a tightening in credit supply to firms. Firms, especially riskier ones, were unable to smooth out the credit shortage. We estimate that the shock to sovereign bonds led, via the lending channel, to a drop in aggregate bank lending to corporations of almost 2 per cent over the subsequent year, which translated into a reduction in investment by smaller firms.JEL Classification: E51, G21.

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Section: Introductionmentioning

confidence: 64%

Section: Introductionmentioning

confidence: 64%

Section: Introductionmentioning

confidence: 99%

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Sovereign Debt Exposure and the Bank Lending Channel: Impact on Credit Supply and the Real Economy

Bottero

Lenzu²,

Mezzanotti

2015

SSRN Journal

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confidence: 99%

“…Hotchkiss and Rios-Avila(2013) …nd that the dramatic decline in the LFPR during the Great Recession is explained almost entirely by cyclical factors. See also Bengali, Daly and Valletta(2013). An exception isBullard (2014), who argues that the actual level of labor force participation rate in the US is not far from its trend and therefore its cyclical component is relatively small.…”

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confidence: 99%

Labor force participation, wage rigidities, and inflation

Nucci

Riggi

2018

Journal of Macroeconomics

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The fall in US labor force participation during the Great Recession stands in sharp contrast with its parallel increase in the euro area. In addition to structural forces, cyclical factors are shown to account for this phenomenon, with the participation rate being procyclical in the US from the inception of the crisis and countercyclical in the euro area. We rationalize these diverging dynamics by using a general equilibrium business cycle model, which nests the endogenous participation decisions into a search and matching model. We show that the "added worker" effect might outweigh the "discouragement effect" if real wage rigidities are allowed for and/or habit in consumer preferences is sufficiently strong. We then draw the implications of variable labor force participation rates for inflation and establish the following result: if endogenous movements in labor market participation are envisaged, then the degree of real wage rigidities becomes almost irrelevant for price dynamics. Indeed, during recessions, the upward pressures on inflation stemming from the lack of a downward adjustment in real wages are offset by an opposite influence from the additional looseness in the labor market, due to the higher participation rate associated with wage rigidities. JEL Classification: E31, E32, E24.

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The Predictive Content of Business Survey Indicators: Evidence from SIGE

Cesaroni

Iezzi

2017

J Bus Cycle Res

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Business survey indicators represent an important tool in economic analysis and forecasting practices. While there is wide consensus on the coincident properties of such data, there is mixed evidence on their ability to predict macroeconomic developments in the short term. In this study we extend the previous research on the predictive content of business surveys by examining the leading properties of the main business survey indicators of the Italian Survey on Inflation and Growth Expectations (SIGE). To this end, we provide a complete characterization of the business cycle properties of survey data (volatility, stationarity, turning points etc.) and we compare them with the national accounts reference series. We further analyse the ability of SIGE indicators to detect turning points using both discrete and continuous dynamic single equation models as compared with their benchmark (B)ARIMA models. Overall, the results indicate that SIGE business indicators are able to make detect early the turning points of their corresponding national account reference series. These findings are very important from a policy-making point of view.

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A Likelihood-Based Analysis for Relaxing the Exclusion Restriction in Randomized Experiments with Imperfect Compliance

Cited by 90 publications

References 0 publications

Sovereign Debt Exposure and the Bank Lending Channel: Impact on Credit Supply and the Real Economy

Sovereign Debt Exposure and the Bank Lending Channel: Impact on Credit Supply and the Real Economy

Labor force participation, wage rigidities, and inflation

The Predictive Content of Business Survey Indicators: Evidence from SIGE

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