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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 |
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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 |
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