European Parliament Library

Italian Sovereign Spreads :, Their Determinants and Pass-through to Bank Funding Costs and Lending Conditions, Edda Zoli

Volatility in Italian sovereign spreads has increased since mid-2011. This paper finds that news on the euro area debt crisis and country specific events were important drivers of sovereign spreads. Movements in sovereign spreads affect CDS spreads and bond yields of Italian banks, and are transmitted rapidly to firm lending rates. Banks with lower capital ratios and higher nonperforming loans were found to be more sensitive to swings in sovereign spreads. Credit supply constraints due to bank funding shortages from the sovereign debt crisis were a major factor behind the lending slowdown in late 2011, while in 2012 weak demand appears to have been driving changes in credit more than supply
Table Of Contents
Cover; Contents; I. Introduction; II. Factors Driving Italian Sovereign Spreads; III. Impact of Sovereign Spreads on Banks' CDS Spreads; IV. Impact of Sovereign Spreads on Banks' Bond Yields; V. Impact of Movements in Sovereign Spreads on Lending Conditions; VI. Conclusions; Appendices; 1. Determinants of Italian Soverign Spread; 2. List of Events Corresponding to Good and Bad News; 3. List of Banks Included in the Sample for the Analysis for Section III; 4. Estimated Credit Demand and Supply; References
Literary Form
non fiction
Description based upon print version of record
Physical Description
1 online resource (27 p.)
Specific Material Designation
Form Of Item

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