Search Results - "Pancaro, Cosimo"

Do non-performing loans matter for bank lending and the business cycle in euro area countries? by Huljak, Ivan, Martin, Reiner, Moccero, Diego, Pancaro, Cosimo

“…We estimate the impact of changes in non-performing loan (NPL) ratios on aggregate banking sector variables and the macroeconomy by estimating a panel Bayesian…”
Get full text

Macro-stress testing dividend income. Evidence from euro area banks by Gross, Christian, Jarmuzek, Mariusz, Pancaro, Cosimo

“…This paper employs panel data methods to estimate a macro-financial model for dividend income for a sample of euro area banks, with results indicating that…”
Get full text

Recent evidence on the sovereign-bank nexus in the euro area by Bochmann, Paul, Kagerer, Benedikt, Pancaro, Cosimo

“…This paper estimates sovereign-bank default risk spillovers in the euro area. Spillovers spiked at the start of the COVID-19 pandemic and of the Russian…”
Get full text

Trade openness reduces growth volatility when countries are well diversified by Haddad, Mona, Lim, Jamus Jerome, Pancaro, Cosimo, Saborowski, Christian

“…This paper addresses the mechanisms by which trade openness affects growth volatility. Using a diverse set of export concentration measures, we present strong…”
Get full text

The disciplining effect of supervisory scrutiny in the EU-wide stress test by Kok, Christoffer, Müller, Carola, Ongena, Steven, Pancaro, Cosimo

“…Relying on confidential supervisory data related to the 2016 EU-wide stress test, this paper presents novel empirical evidence that supervisory scrutiny…”
Get full text

Current Account Reversals in Industrial Countries: does the Exchange Rate Regime Matter? by Pancaro, Cosimo, Saborowski, Christian

“…This paper studies current account reversals in industrial countries across different exchange rate regimes. There are two major findings which have important…”
Get full text

Bank funding costs and solvency by Arnould, Guillaume, Avignone, Giuseppe, Pancaro, Cosimo, Żochowski, Dawid

“…This paper investigates the relationship between bank funding costs and solvency for a large sample of euro area banks using two proprietary ECB datasets for…”
Get full text

Fire sales by euro area banks and funds: What is their asset price impact? by Mirza, Harun, Moccero, Diego, Palligkinis, Spyros, Pancaro, Cosimo

“…The assets under management of investment funds have soared in recent years, triggering a debate on their possible implications for financial stability. We…”
Get full text

Macro stress testing euro area banks’ fees and commissions by Kok, Christoffer, Mirza, Harun, Pancaro, Cosimo

“…•A macro-financial model to analyse bank fee and commission income is proposed.•Fee and commission income depends on interest rates, stock market returns and…”
Get full text