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Macroeconomic uncertainty and banks' lending decisions: the case of Italy

[Zeitschriftenartikel]

Quagliariello, Mario

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-240788

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Abstract This paper discusses the role that macroeconomic uncertainty plays in banks' decisions on the optimal asset allocation. Following the portfolio model proposed by Baum et al. (2005), the paper aims at disentangling how Italian banks choose between loans and risk-free assets when uncertainty on macroeconomic conditions increases. The econometric results confirm that macroeconomic uncertainty is a significant determinant of banks' investment decisions, also after controlling for other factors. In periods of increasing turmoil, banks' ability to accurately forecast future returns is hindered and herding behaviour tends to emerge, as witnessed by the reduction of the cross-sectional variance of the share of loans held in portfolio.
Thesaurusschlagwörter bank
Klassifikation Volkswirtschaftslehre; Wirtschaftssektoren
Freie Schlagwörter business cycle; uncertainty; lending decisions; GARCH
Publikationsjahr 2009
Seitenangabe S. 323-336
Zeitschriftentitel Applied Economics, 41 (2009) 3
DOI http://dx.doi.org/10.1080/00036840601007286
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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