文章基本信息

标题：An explorative analysis of Italy banking financial stability
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作者：Matteo Foglia ; Eliana Angelini
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2019
卷号：39
期号：2
页码：1-16
出版社：Economics Bulletin
摘要：This paper provides a quantitative measure for the financial stability of Italy banking sector. First, we construct an indicator that summarizes the information about the health of Italy's banking system, the Bank Condition Index (BCI). The index is constructed with capital adequacy, asset quality, earnings and liquidity (CAEL) indicators. The major advantage of BCI is that can be useful for initial identification of bank soundness and can be helpful to identify the principal areas of weakness. Furthermore, we apply AR model to evaluate the predictive power of the BCI on GDP growth. The results identify that the BCI is an important predictor of real economic activity. Finally, we study the relationship between the BCI and systemic risk measures (DCoVaR, SRISK, DCI), finding that an increase of systemic risk implies a reduction of bank-financial stability.