Mo.Fi.R. Working Papers (2013) - Di.S.E.S.

Mo.Fi.R. Working Papers (>> Mo.Fi.R. website)

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Markus Eberhardt, Andrea Filippo Presbitero

This Time They’re Different: Heterogeneity and Nonlinearity in the Relationship between Debt and Growth [dicembre 2013]

Keywords:

common factor model, economic growth, nonlinearity, public debt

JEL Classification:

C23-

Mathematical and Quantitative Methods – Single Equation Models; Single Variables – Models with Panel Data; Longitudinal Data; Spatial Time Series

E62-

Macroeconomics and Monetary Economics – Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook – Fiscal Policy

F34-

International Economics – International Finance – International Lending and Debt Problems

O11-

Economic Development, Technological Change, and Growth – Economic Development – Macroeconomic Analyses of Economic Development

Abstract:

We study the long-run relationship between public debt and growth in a large panel of countries. Our analysis takes particular note of theoretical arguments and data considerations in modelling the debt-growth relationship as heterogeneous across countries. We investigate the issue of nonlinearities (‘debt thresholds’) in both the cross-country and within-country dimensions, employing novel methods and diagnostics from the time-series literature adapted for use in the panel. We find some support for a nonlinear relationship between debt and long-run growth across countries, but no evidence for a common debt threshold within countries over time.

Citations: CitEc

Federico Cingano, Francesco Manaresi, Enrico Sette

Does credit crunch investments down? New evidence on the real effects of the bank-lending channel [dicembre 2013]

Keywords:

Bank Lending Channel, Corporate investments, Corporate liquidit,, Financial crisis

JEL Classification:

E22-

Macroeconomics and Monetary Economics – Macroeconomics: Consumption, Saving, Production, Employment, and Investment – Capital; Investment; Capacity

E44-

Macroeconomics and Monetary Economics – Money and Interest Rates – Financial Markets and the Macroeconomy

G01-

Financial Economics – General – Financial Crises

G21-

Financial Economics – Financial Institutions and Services – Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

G32-

Financial Economics – Corporate Finance and Governance – Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure

Abstract:

This paper shows evidence on the real effects of the bank lending channel exploiting the dramatic 2007 liquidity drought in interbank markets as a source of variation in banks’ credit supply. For a large sample of Italian firms we combine information on firm-bank credit relationships, firms and banks balance sheet data, and estimate both the direct effect of the liquidity drought on the investment rate and the sensitivity to bank credit of investment (as well as of other firms outcomes) in 2007-10. We find that: (i) pre-crisis exposure to the interbank markets does predict banks subsequent credit supply; (ii) banks exposure also has a significant direct impact on firms investment rate, accounting for more than 40% of the negative trend in investment observed in the sample; (iii) firms’ investments are highly sensitive to bank credit: a 10 percentage point fall in credit growth reduces the investment rate by 8-14 points over four years, depending on the definition of the credit variable; (iv) credit shocks have a significant impact on broader economic activity, lowering firms’ value added, employment and intermediate inputs purchases; we also find evidence of its propagation through a contraction in the supply of trade credit by firms.

Citations: CitEc

Claudia Piras, Andrea Filippo Presbitero, Roberta Rabellotti

Definitions Matter: Measuring Gender Gaps in Firms’ Access to Credit [ottobre 2013]

Keywords:

Access to credit, Discrimination, Firm ownership, Gender

JEL Classification:

G21-

Financial Economics – Financial Institutions and Services – Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

J16-

Labor and Demographic Economics – Demographic Economics – Economics of Gender; Non-labor Discrimination

O54-

Economic Development, Technological Change, and Growth – Economywide Country Studies – Latin America; Caribbean

Abstract:

Standards measures of female ownership and management of firms included in the World Bank Enterprise Survey do not support the existence of a gender gap in access to finance in the Latin American and Caribbean region. Nonetheless, more precise measures show that women-led businesses are more likely to be financially constrained than other comparable firms. The evidence presented herein suggests that this gender gap may be driven by taste-based discrimination. This paper exploits a rich dataset that provides detailed information about female ownership and management in firms, allowing for further understanding of gender gaps in access to finance.

Citations: CitEc

Maria Rosaria Carillo, Vincenzo Lombardo, Alberto Zazzaro

Family Firm Connections and Entrepreneurial Human Capital in the Process of Development [ottobre 2013]

Keywords:

Family firms, allocation of talents, economic growth, family connections, technological change

JEL Classification:

J62-

Labor and Demographic Economics – Mobility, Unemployment, and Vacancies – Job, Occupational, and Intergenerational Mobility

L26-

Industrial Organization – Firm Objectives, Organization, and Behavior – Entrepreneurship

O40-

Economic Development, Technological Change, and Growth – Economic Growth and Aggregate Productivity – General

Abstract:

In this paper we present a new theory accounting for the heterogeneous impact of family firms on economic growth. We develop an overlapping generations model, where agents are heterogeneous in innate talent, and family firms have access to an additional source of managerial capital, family connections, which affects the incentives of the firms’ owners to pass on the company within the family and invest in the entrepreneurial human capital of their heirs. Our theory predicts that family firms cluster into heterogeneous groups with different management practices, inducing, at the aggregate level, a misallocation of talent that affects economic growth and the evolution into either a dynamic or a stagnant society, depending on the productivity of family connections in doing business. This heterogeneity in management practices and entrepreneurial human capital explains the different contribution of family firms during industrialization, highlighting the many possible evolutionary patterns for the economy and long-run growth regimes. Consistent with the theory, we provide empirical evidence in favor of the importance of social connectivity among individuals for explaining the difference in management practices between family and non-family firms, and, in turn, the GDP per-capita across countries.

Status:

Version #2 – 02-2015

Citations: CitEc

Andrea Filippo Presbitero

Aid and Vulnerability [ottobre 2013]

Keywords:

Business cycle, Foreign aid, Volatility, Vulnerability

JEL Classification:

F35-

International Economics – International Finance – Foreign Aid

O11-

Economic Development, Technological Change, and Growth – Economic Development – Macroeconomic Analyses of Economic Development

O19-

Economic Development, Technological Change, and Growth – Economic Development – International Linkages to Development; Role of International Organizations

Abstract:

Managing and identifying risks are a key challenge for Low Income Countries (LICs), which are extremely vulnerable to exogenous shocks. However, the use of risk management tools by developing countries is quite limited. The paper discusses in which ways aid could strengthen the capacity of LICs to deal with vulnerability to external shocks and to manage capital flows. We provide some novel empirical evidence on the potential role of aid as output stabilizer and shock absorber in recipient countries, and on aid unpredictability.

Citations: CitEc

Pietro Alessandrini, Luca Papi, Andrea Filippo Presbitero, Alberto Zazzaro

Crisi finanziaria globale, crisi sovrana e crisi bancaria: L’Italia e il confronto europeo [settembre 2013]

Keywords:

Accesso al credito, banche, credit crunch, crisi bancaria, crisi sovrana

JEL Classification:

E51-

Macroeconomics and Monetary Economics – Monetary Policy, Central Banking, and the Supply of Money and Credit – Money Supply; Credit; Money Multipliers

G21-

Financial Economics – Financial Institutions and Services – Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

H63-

Public Economics – National Budget, Deficit, and Debt – Debt; Debt Management; Sovereign Debt

Abstract:

Questo lavoro analizza le diverse fasi della recente crisi economico-finanziaria, ponendo l’accento sull’entità del credit crunch in Italia e nel resto d’Europa, al fine di cogliere le similitudini ma, soprattutto, le differenze tra i paesi centrali e quelli periferici ell’area dell’euro, tra i quali l’Italia. In particolare, ci concentreremo sul legame tra crisi del debito sovrano e crisi bancaria: l’instaurarsi di un circolo vizioso tra instabilità finanziaria e difficoltà delle finanze ubbliche è, infatti, uno degli elementi alla base della profonda fase di stagnazione delle conomie periferiche dell’area euro.

Citations: CitEc

Francesco Marchionne, Alberto Zazzaro

Rischio e concorrenza nel sistema bancario italiano durante la crisi finanziaria globale [agosto 2013]

Abstract:

In questo lavoro, analizziamo il rapporto tra il rischio e la concorrenza nel sistema bancario italiano durante il periodo dal 2006 al 2010. Utilizzando stimatori OLS e panel, stimiamo l’impatto dell’indice di Lerner, una misura del potere di mercato della banca, sullo Z-score di Altman, una proxy della probabilità d’insolvenza della banca. I risultati sono coerenti con il paradigma tradizionale dal charter-value e rifiutano il modello del risk-shifting proposto da Boyd-De Nicolò (2005). Inoltre, mostriamo che durante la crisi il legame concorrenza-rischio è divenuto ancora più stringente. I nostri risultati sono robusti a diverse definizioni di crisi e a diverse specificazioni.

Citations: CitEc

Giovanna Bua, Juan Pradelli, Andrea Filippo Presbitero

Domestic public debt in low-income countries: trends and structure [agosto 2013]

Keywords:

Debt structure, Domestic debt, HIPCs, Low-income countries

JEL Classification:

E62-

Macroeconomics and Monetary Economics – Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook – Fiscal Policy

H63-

Public Economics – National Budget, Deficit, and Debt – Debt; Debt Management; Sovereign Debt

O23-

Economic Development, Technological Change, and Growth – Development Planning and Policy – Fiscal and Monetary Policy in Development

Abstract:

This paper introduces a new dataset on the stock and structure of domestic debt in 36 Low-Income Countries over the period 1971-2011. We characterize the recent trends regarding LICs domestic public debt and explore the relevance of different arguments put forward on the benefits and costs of government borrowing in local public debt markets. The main stylized fact emerging from the data is the increase in domestic government debt since 1996. We also observe that poor countries have been able to increase the share of long-term instruments over time and that the maturity lengthening went together with a decrease in borrowing costs. However, the concentration of the investor base, mainly dominated by commercial banks and the Central Bank, may crowd out lending to the private sector.

Citations: CitEc

Pietro Alessandrini

Il Bancor [maggio 2013]

Citations: CitEc

Luca Papi, Andrea Filippo Presbitero, Alberto Zazzaro

I consorzi di garanzia fidi durante la crisi [maggio 2013]

Keywords:

PMI, confidi, crisi, razionamento

JEL Classification:

D82-

Microeconomics – Information, Knowledge, and Uncertainty – Asymmetric and Private Information

G21-

Financial Economics – Financial Institutions and Services – Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

G28-

Financial Economics – Financial Institutions and Services – Government Policy and Regulation

Abstract:

Questo paper analizza in che misura i confidi siano riusciti a limitare i problemi di accesso al credito da parte delle piccole imprese durante la crisi. Dapprima vengono discusse le principali trasformazioni registrate dalla struttura del settore dei confidi negli anni recenti e le evidenze empiriche sul ruolo dei confidi durante la crisi economico-finanziaria. Successivamente, sulla base dell’analisi del campione di aziende incluse nell’indagine mensile sulle imprese manifatturiere dell’Istat, mostriamo la capacità dei confidi di facilitare l’accesso al credito nella fase di crisi. Infine, a seguito del ruolo positivo svolto dai confidi, avanziamo alcune considerazioni sulle politiche pubbliche a sostegno dei confidi.

Citations: CitEc

Riccardo De Bonis, Daniele Fano, Teresa Sbano

Houshold Aggregate Wealth In The Main OECD Countries From 1980 To 2011: What Do The Data Tell Us? [maggio 2013]

Keywords:

financial systems, household wealth and debt

JEL Classification:

E0-

Macroeconomics and Monetary Economics – General

E21-

Macroeconomics and Monetary Economics – Macroeconomics: Consumption, Saving, Production, Employment, and Investment – Consumption; Saving; Wealth

G20-

Financial Economics – Financial Institutions and Services – General

Abstract:

This paper analyses aggregate household wealth in Canada, France, Germany, Italy, Japan, Spain, the UK and the US. Building on a new data set for the time span 1980-2011, we discuss the trends in household financial assets in the last thirty years, the reasons for differences across countries, the tendency towards convergence, the economic interpretation of breaks in time series and the effects of the recent financial crisis. We also comment on the evolution of household debt and real assets. In discussing the empirical evidence, the paper summarises some of the recent literature on household wealth.

Citations: CitEc

Michele Fratianni, Antonio Maria Rinaldi, Paolo Savona

Una proposta per ridurre il fardello del debito pubblico italiano [aprile 2013]

Citations: CitEc

Luca Papi, Andrea Filippo Presbitero, Alberto Zazzaro

IMF Lending and Banking Crises [febbraio 2013]

Keywords:

Banking crises, IMF programs, Political economy

JEL Classification:

F33-

International Economics – International Finance – International Monetary Arrangements and Institutions

F34-

International Economics – International Finance – International Lending and Debt Problems

F35-

International Economics – International Finance – Foreign Aid

O11-

Economic Development, Technological Change, and Growth – Economic Development – Macroeconomic Analyses of Economic Development

Abstract:

In this paper we look at the effect of International Monetary Fund (IMF) lending programs on banking crises in a large sample of developing countries, over the period 1965-2010. The endogeneity of the Fund intervention is addressed by adopting an instrumental variable (IV) strategy, in which the degree of political similarity between IMF borrowers and the G-7 is taken as an instrument for the likelihood of a country signing an IMF lending arrangement. Controlling for the standard determinants of banking crises, the IV estimates suggest that previous IMF borrowers are significantly less likely to experience a banking crisis. We also provide evidence suggesting that compliance with conditionality matters, consistent with the importance of IMF-supported financial reform, and that the positive effect of the Fund intervention on banking sector stability works through a direct liquidity provision effect.

Citations: CitEc

Andrea Bellucci, Alexander V. Borisov, Alberto Zazzaro

Do Banks Price Discriminate Spatially? Evidence from Small Business Lending in Local Credit Markets [febbraio 2013]

Keywords:

Bank lending, Credit availability, Distance, Interest rate, Pricing

JEL Classification:

G21-

Financial Economics – Financial Institutions and Services – Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

G32-

Financial Economics – Corporate Finance and Governance – Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure

L11-

Industrial Organization – Market Structure, Firm Strategy, and Market Performance – Production, Pricing, and Market Structure; Size Distribution of Firms

Abstract:

In this paper we explore the effects of bank-borrower physical proximity on price and non-price aspects of small business lending in local credit markets. Along the price dimension, our analysis reveals that interest rates increase with bank-borrower distance and decrease with the distance between borrower and other competing banks. Along the quantity dimension, we observe that more distant borrowers are more likely to experience binding credit limits. We also show that the quantity effects of bank-borrower distance are concentrated among less transparent firms. Our findings are consistent with pricing based on marginal costs that reflect information-based factors, and are in contrast to the established paradigm, where banks adopt spatial discriminatory pricing rules when lending to small-sized enterprises.

Citations: CitEc

Ugo Panizza, Andrea Filippo Presbitero

Public Debt and Economic Growth in Advanced Economies: A Survey [gennaio 2013]

Keywords:

Government Debt, Growth, OECD countries

JEL Classification:

F33-

International Economics – International Finance – International Monetary Arrangements and Institutions

F34-

International Economics – International Finance – International Lending and Debt Problems

F35-

International Economics – International Finance – Foreign Aid

O11-

Economic Development, Technological Change, and Growth – Economic Development – Macroeconomic Analyses of Economic Development

Abstract:

This paper surveys the recent literature on the links between public debt and economic growth in advanced economies. We find that theoretical models yield ambiguous results. Whether high levels of public debt have a negative effect on long-run growth is thus an empirical question. While many papers have found a negative correlation between debt and growth, our reading of the empirical literature is that there is no paper that can make a strong case for a causal relationship going from debt to economic growth. We also find that the presence of thresholds and, more in general, of a non-monotone relationship between debt and growth is not robust to small changes in data coverage and empirical techniques. We conclude with a discussion of the challenges involved in measuring and defining public debt and some suggestions for future research which, in our view, should emphasize cross-country heterogeneity.

Citations: CitEc

Filomena Pietrovito, Alberto Franco Pozzolo, Luca Salvatici

Internationalization choices: an ordered probit analysis at industry-level [gennaio 2013]

Keywords:

distribution of firms, exports, foreign direct investments, mergers and acquisitions, ordered probit, productivity

JEL Classification:

D24-

Microeconomics – Production and Organizations – Production; Cost; Capital, Total Factor, and Multifactor Productivity; Capacity

F10-

International Economics – Trade – General

F14-

International Economics – Trade – Country and Industry Studies of Trade

F20-

International Economics – International Factor Movements and International Business – General

F23-

International Economics – International Factor Movements and International Business – Multinational Firms; International Business

Abstract:

Trade theory traces back different patterns of internationalization to heterogeneity between firms, measured both through differences in productivity levels and size. In this paper we analyze the link between heterogeneity within sectors and internationalization choices, namely trade and foreign direct investments (FDI) for a large sample of countries and industries between 1994 and 2004. The focus of our paper is on the role played by average productivity level and the distribution of firms by size in explaining differences across sectors and countries in the extensive margin of internationalization (i.e., the number of foreign nations where firms from a given sector and country have expanded abroad). By performing an ordered probit analysis, and controlling for other factors affecting the patterns of internationalization, we confirm that industries with higher productivity levels and with a distribution of firms shifted toward large firms are more prone to internationalize in foreign markets through both trade and FDI. Moreover, the relative impact of average productivity and firm size on FDI is larger than that on trade. These results are robust to different measures of productivity and the distribution of firms.

Citations: CitEc

Michele Fratianni, Francesco Marchionne

The fading stock market response to announcements of bank bailouts [gennaio 2013]

Keywords:

announcement, bank, event study, financial crisis, rescue plan

JEL Classification:

G01-

Financial Economics – General – Financial Crises

G21-

Financial Economics – Financial Institutions and Services – Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

N20-

Economic History – Financial Markets and Institutions – General, International, or Comparative

Abstract:

We analyze the effects on bank valuation of government policies aimed at shoring up banks’ financial conditions during the 2008-2009 financial crisis. Governments injected into troubled institutions massive amounts of fresh capital and/or guaranteed bank assets and liabilities. We employ event study methodology to estimate the impact of government-intervention announcements on bank valuation. Using traditional approaches, announcements directed at the banking system as a whole were associated with positive cumulative abnormal returns, whereas announcements directed at specific banks with negative ones. Findings are consistent with the hypothesis that individual institutions were reluctant to seek public assistance. However, when we correct standard errors for bank-and-time effects, virtually all announcement impacts vanish in Europe, whereas they weaken in the United States. The policy implication is that the large public commitments were either not credible or deemed inadequate relative to the underlying financial difficulties of banks.

Citations: CitEc