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|Title:||Loan loss provisions and macroeconomic shocks: some empirical evidence for Italian banks during the crisis|
Di Colli, S
|Keywords:||Loan Loss Provision;Bank Lending;Financial System Cyclicality|
|Citation:||Finance Research Letters, 2017|
|Abstract:||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.|
|Appears in Collections:||Dept of Economics and Finance Research Papers|
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