Loan loss provisions and macroeconomic shocks: Some empirical evidence for italian banks during the crisis

Autor:	Stefano Di Colli, Guglielmo Maria Caporale, Juan Sergio Lopez, Matteo Alessi
Rok vydání:	2018
Předmět:	050208 finance media_common.quotation_subject 05 social sciences loan loss provision Monetary economics Recession financial system cyclicality Loan 0502 economics and business Capital management Economics Business cycle bank lending 050207 economics Empirical evidence Finance media_common
Zdroj:	Finance Research Letters. 25:239-243
ISSN:	1544-6123
DOI:	10.1016/j.frl.2017.10.031
Popis:	© 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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5ece7cf94b0fe49791f66550e9475940 https://doi.org/10.1016/j.frl.2017.10.031 Zobrazit plný text záznamu Full Text from ScienceDirect