Brunel University Research Archive(BURA) preserves and enables easy and open access to all
types of digital content. It showcases Brunel's research outputs.
Research contained within BURA is open access, although some publications may be subject
to publisher imposed embargoes. All awarded PhD theses are also archived on BURA.
Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/15336| Title: | Loan loss provisions and macroeconomic shocks: some empirical evidence for Italian banks during the crisis |
| Authors: | Caporale, GM Alessi, M Di Colli, S Lopez, JS |
| Keywords: | loan loss provision;bank lending;financial system cyclicality |
| Issue Date: | 20-Dec-2017 |
| Citation: | Caporale, G.M. et al. (2018) 'Loan loss provisions and macroeconomic shocks: some empirical evidence for Italian banks during the crisis', Finance Research Letters, 25, pp. 239 - 243. doi: 10.1016/j.frl.2017.10.031. |
| Abstract: | Copyright © 2017 The Authors. This paper uses data from a panel of more than 400 Italian banks for the period 2001 – 2015 to examine the main determinants of loan loss provision (LLP), which are classified as either discretionary (income smoothing, capital management, signalling) or non-discretionary (related to the business cycle). The possible effects of the double-dip recession of 2008-9 and 2011-15 are also examined. The results suggest that LLP in Italian banks is countercyclical, with non-discretionary components and macroeconomic shocks playing a significant role. Moreover, LLP is less cyclical in the case of local banks, since their loans are more collateralized and their behaviour is more strongly affected by supervisory activity. |
| Description: | Supplementary materials are available online at: https://www.sciencedirect.com/science/article/pii/S1544612317303471?via%3Dihub#sec0006 . |
| URI: | https://bura.brunel.ac.uk/handle/2438/15336 |
| DOI: | https://doi.org/10.1016/j.frl.2017.10.031 |
| ISSN: | 1544-6123 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Copyright © 2017 The Authors. Published by Elsevier Inc. This is an open access article under the CC BY license (https://creativecommons.org/licenses/by/4.0/). | 153.94 kB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License
